The CNX Bank Index is an index comprised of the most liquid and large capitalized Indian Banking stocks. It provides inv

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The CNX Bank Index is an index comprised of the most liquid and
large capitalized Indian Banking stocks. It provides investors and
market intermediaries with a benchmark that captures the capital
market performance of the Indian banks. The Index has following 8
stocks from the banking sector that are listed on NSE :
Stock
Mean Return (Ri) (%)
Beta
Unsystematic Risk(%²)
1
25
0.5
35
2
20
1.2
25
3
14
0.8
20
4
15
1
15
5
18
1.8
25
6
12
1.5
30
7
15
2.5
40
8
10
2.2
20
The risk free rate in the economy is 6%. Market Return as 15 %
and Market Variance as 20 percent square. Construct the Optimal
Portfolio using Sharpe optimization model (20 MARKS)