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UNSW-FINS3640-S2,2010-Week 7
1.
School of Banking
and Finance www.banking.unsw.edu.au
2.
FINS3640 - Investment
Management Modeling Week 7 - 31 Aug 2010 Efficient Frontier
3.
Revision Week 6
Matrix algebra SUMPRODUCT TRANSPOSE MMULT Portfolio expected return Portfolio variance Portfolio risk-return convex
4.
Where we were:
portfolio convex
5.
Where we want
to be: efficient frontier
6.
Method 1: Black's
Shortcut
7.
Method 2: Excel
Solver Advantage: locate tangency portfolio & GMVP