Hi everyone,
In this video we will construct an efficient frontier including the minimum variance portfolio. I am also showing how you can make portfolio returns and portfolio variance (or the square root: portfolio standard deviation) scalable. That is not only helpful in creating an efficient frontier for multiple assets but also to calculate return / variance of large portfolios.
0:00-0:59 Intro
0:59 - 02:37 Getting price data and normalized (log) returns
02:37 - 03:52 Portfolioweights and Portfolioreturn
03:52 - 06:00 Scalable (algebraic) Portfolioreturn
06:00 - 10:20 Portfoliovariance / standard deviation
10:20 - 12:57 Scalable (algebraic) Portfoliovariance / standard deviation
12:57 - 15:30 Creating random portfolio weights
15:30 - 18:00 Creating a large number of portfolios via loop
18:00 - 20:25 Graphing the efficient frontier
20:25 - 21:10 Interpreting the graph
21:10 - 23:18 Minimum-Variance Portfolio
23:18 - 25:17 Efficient frontier for multiple assets
Theory:
Check out my videos on Python for Finance and Pandas to better follow along.
If you have any questions please feel free to drop me a comment.
#Python #Finance #EfficientFrontier #MinimumVariance