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School of Banking and Finance www.banking.unsw.edu.au<br />
FINS3640 - Investment Management Modeling<br />Week 7 - 31 Aug 2010<br />Efficient Frontier<br />
Revision Week 6<br />Matrix algebra<br />SUMPRODUCT<br />TRANSPOSE<br />MMULT<br />Portfolio expected return<br />Portfoli...
Where we were: portfolio convex<br />
Where we want to be: efficient frontier<br />
Method 1: Black's Shortcut<br />
Method 2: Excel Solver<br />Advantage: locate tangency portfolio & GMVP<br />
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UNSW-FINS3640-S2,2010-Week 7

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UNSW-FINS3640-S2,2010-Week 7

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

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