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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

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UNSW-FINS3640-S2,2010-Week 7