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Sukhpal

Hansraj College Portfolio Management


M.Sc. Operational Research Assignment II
Semester IV
Maruti Suzuki Market
Date Open Close DividendOpen Close mrf mms mmt yms Xmt Xy X2
3/1/2017 5960 6015.7 75 8904.4 9173.75 0.0152 0.02193 0.03025 0.00673 0.01505 0.0001 0.00023
4/1/2017 6095 6524.85 75 9220.6 9304.05 0.0152 0.08283 0.00905 0.06763 -0.00615 -0.00042 3.8E-05
5/1/2017 6524.85 7211 75 9339.85 9621.25 0.0152 0.11665 0.03013 0.10145 0.01493 0.00151 0.00022
6/1/2017 7242 7217.6 75 9603.55 9520.9 0.0152 0.00699 -0.00861 -0.00821 -0.02381 0.0002 0.00057
7/1/2017 7238.9 7750.05 75 9587.95 10077.1 0.0152 0.08097 0.05102 0.06577 0.03582 0.00236 0.00128
8/1/2017 7759.9 7700.3 75 10101 9917.9 0.0152 0.00198 -0.01813 -0.01322 -0.03333 0.00044 0.00111
9/1/2017 7747.5 7978.2 75 9937.65 9788.6 0.0152 0.03946 -0.015 0.02426 -0.0302 -0.00073 0.00091
10/1/2017 7978.2 8211.25 75 9893.3 10335.3 0.0152 0.03861 0.04468 0.02341 0.02948 0.00069 0.00087
11/1/2017 8251 8599.1 75 10390.3 10226.5 0.0152 0.05128 -0.01576 0.03608 -0.03096 -0.00112 0.00096
12/1/2017 8660 9729.55 75 10263.7 10530.7 0.0152 0.13217 0.02601 0.11697 0.01081 0.00126 0.00012
1/1/2018 9749 9509.7 75 10477.5 11027.7 0.0152 -0.01685 0.05251 -0.03205 0.03731 -0.0012 0.00139
2/1/2018 9545 8850.95 75 11044.5 10492.8 0.0152 -0.06486 -0.04995 -0.08006 -0.06515 0.00522 0.00424
3/1/2018 8874 8861.1 75 10480 10113.7 0.0152 0.007 -0.03495 -0.0082 -0.05015 0.00041 0.00251
4/1/2018 8990 8814.95 75 10151.7 10739.3 0.0152 -0.01113 0.05789 -0.02633 0.04269 -0.00112 0.00182
5/1/2018 8814.95 8537.2 75 10783.8 10736.2 0.0152 -0.023 -0.00442 -0.0382 -0.01962 0.00075 0.00039
6/1/2018 8610 8825.6 75 10738.5 10714.3 0.0152 0.03375 -0.00225 0.01855 -0.01745 -0.00032 0.0003
7/1/2018 8878 9520.55 75 10732.3 11356.5 0.0152 0.08082 0.05816 0.06562 0.04296 0.00282 0.00185
8/1/2018 9535 9096.4 80 11359.8 11680.5 0.0152 -0.03761 0.02823 -0.05281 0.01303 -0.00069 0.00017
9/1/2018 9100 7347.95 80 11751.8 10930.5 0.0152 -0.18374 -0.06989 -0.19894 -0.08509 0.01693 0.00724
10/1/2018 7354 6616.4 80 10930.9 10386.6 0.0152 -0.08942 -0.04979 -0.10462 -0.06499 0.0068 0.00422
11/1/2018 6648.95 7661.6 80 10441.7 10876.8 0.0152 0.16433 0.04166 0.14913 0.02646 0.00395 0.0007
12/1/2018 7688.5 7465.5 80 10930.7 10862.5 0.0152 -0.0186 -0.00623 -0.0338 -0.02143 0.00072 0.00046
1/1/2019 7449.75 6641.15 80 10868.8 10831 0.0152 -0.0978 -0.00349 -0.113 -0.01869 0.00211 0.00035
2/1/2019 6679 6829.7 80 10851.3 10792.5 0.0152 0.03454 -0.00542 0.01934 -0.02062 -0.0004 0.00043
3/1/2019 6876.8 6672.55 80 10842.7 11623.9 0.0152 -0.01807 0.07205 -0.03327 0.05685 -0.00189 0.00323
4/1/2019 6730.8 6666.4 80 11665.2 11748.2 0.0152 0.00232 0.00711 -0.01288 -0.00809 0.0001 6.5E-05
5/1/2019 6666.4 6869.85 80 11725.5 11922.8 0.0152 0.04252 0.01682 0.02732 0.00162 4.4E-05 2.6E-06
6/1/2019 6760 6534.65 80 11953.8 11788.8 0.0152 -0.0215 -0.01379 -0.0367 -0.02899 0.00106 0.00084
7/1/2019 6600 5469.7 80 11839.9 11118 0.0152 -0.15914 -0.06097 -0.17434 -0.07617 0.01328 0.0058
8/1/2019 5469.7 6123.75 80 11060.2 11023.3 0.0152 0.1342 -0.00334 0.119 -0.01854 -0.00221 0.00034
9/1/2019 6123.75 6715.8 80 10961 11474.5 0.0152 0.10974 0.04685 0.09454 0.03165 0.00299 0.001
10/1/2019 6720 7559.4 80 11515.4 11877.5 0.0152 0.13682 0.03144 0.12162 0.01624 0.00198 0.00026
11/1/2019 7599.95 7245.85 80 11886.6 12056 0.0152 -0.03607 0.01426 -0.05127 -0.00094 4.8E-05 8.9E-07
12/1/2019 7291 7368.6 80 12137 12168.5 0.0152 0.02162 0.00259 0.00642 -0.01261 -8.1E-05 0.00016
1/1/2020 7377 6913.5 80 12202.2 12169.8 0.0152 -0.05199 -0.00265 -0.06719 -0.01785 0.0012 0.00032
2/1/2020 6915 6757.6 80 11627.5 11201.8 0.0152 -0.01119 -0.03661 -0.02639 -0.05181 0.00137 0.00268
sum -> -0.0476 -0.3278 0.0582 0.0471

The current risk-free rate is 1.52%


Maruti Suzuki India's beta is 1.19

sum(x)= -0.32777 n*sum(xy)-


sum(y) = -0.04763 sum(x)*sum(y)
\b=
sum(xy) = 0.05817
n*sum(x)2-sum(x)2
sum(x2) = 0.0471
n = 36
b= 1.3088

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