Warning: preg_replace(): The /e modifier is no longer supported, use preg_replace_callback instead in /home/phme2432/public_html/wp-content/plugins/latex/latex.php on line 47

What I Learned Today

No frills, just learn

Investment Portfolio Basics

Considering  the vector of assets i weight in the portfolio (with constrain ) and  the vector of expect returns on the corresponding assets.

Considering  the volatility of the given asset, corresponding to the standard deviation of the normal distribution of returns (and thus  the risk), and  the correlation between assets.

The Total Return is given by:

And the Total Risk is

with  the covariance matrix with elements 

Optimizing: the Minimum Variance (or Maximum Return) Portfolio example
Next post

Theorical ArXiv of Cook and Rossi
Previous post