An investor has two portfolios known to be on minimum variance set for a population of three securities X, Y and Z having below mentioned weights:…
CA Final · Advanced Financial Management · MTP · May 2024
An investor has two portfolios known to be on minimum variance set for a population of three securities X, Y and Z having below mentioned weights: WX WY WZ Portfolio A 0.30 0.40 0.30 Portfolio B 0.20 0.50 0.30 Calculate the weight for each stock for a portfolio constructed by investing - 10,00,000 in portfolio A and - 6,00,000 in portfolio B.
Suggested Answer and Working Notes:
Investment committed to each security would be:- X (₹) Y (₹) Z (₹) Total (₹) Portfolio A 3,00,000 4,00,000 3,00,000 10,00,000 Portfolio B 1,20,000 3,00,000 1,80,000 6,00,000 Combined Portfolio 4,20,000 7,00,000 4,80,000 16,00,000 .. Stock weights 0.2625 0.4375 0.3000 Or 0.26 Or 0.44 Or 0.30
Topics: Portfolio Management
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