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UNSW-FINS3640-S2,2010-Week 7 UNSW-FINS3640-S2,2010-Week 7 Presentation Transcript

  • School of Banking and Finance www.banking.unsw.edu.au
  • FINS3640 - Investment Management Modeling
    Week 7 - 31 Aug 2010
    Efficient Frontier
  • Revision Week 6
    Matrix algebra
    SUMPRODUCT
    TRANSPOSE
    MMULT
    Portfolio expected return
    Portfolio variance
    Portfolio risk-return convex
  • Where we were: portfolio convex
  • Where we want to be: efficient frontier
  • Method 1: Black's Shortcut
  • Method 2: Excel Solver
    Advantage: locate tangency portfolio & GMVP