Portfolio Theory

Objective

• Construct Efficient Portfolios

Reading

• Chapter 6: Portfolio Theory
• Chapter 7: Portfolio Theory

Assignments

• Portfolio Optimization
• Efficient Frontier

Portfolio Theory

Andrew Lo @ MIT in 2008

• Portfolio Theory: Robert Shiller @ Yale in 2011
• Portfolio Theory: CAPM, & APT: Andrew Lo @ MIT in 2008
• Portfolio Management: Jake Xia @ MIT in 2013
• Portfolio Theory: Peter Kempthorne @ MIT in 2013

Efficient Portfolios

Portfolio Optimization

• Example: Stock Returns from FINRA
• Example: Stock Returns from Bloomberg
• Example: Data Preparation
• Example: Covariance Matrix in Excel
• Example: Portfolio Optimization in Excel (Beginner)
• Example: Portfolio Optimization in R (Intermediate) (Advanced)
• Example: Graph the Efficient Frontier in Excel using Random Portfolios

Linear Algebra Review

• Intro to Matrices @ Khan Academy
• Matrix Multiplication @ Khan Academy
• Linear Algebra @ 3Blue1Brown
• What is a Vector? @ 3Blue1Brown
• Linear Transformations @ 3Blue1Brown
• Matrix Multiplication @ 3Blue1Brown