Markowitz Mean-Variance Optimization
Chapter
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Abstract
This chapter discusses mean-variance optimization based on the work of Markowitz. The idea is for us to find portfolios that provide the highest expected return for a given level of risk. We demonstrate the intuition of identifying mean-variance efficient portfolios and construction of the mean-variance efficient frontier through a simple two-asset example. We then show how to use quadratic programming to extend the two-asset portfolio to a multi-asset portfolio.
Keywords
Quadratic Programming Efficient Frontier Sharpe Ratio Short Selling Monthly Return
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References
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© Springer International Publishing Switzerland 2015