You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
This way of calculation is amazing and although I hold a Master in Finance I never encountered this method. Until now, I always calculated the efficient frontier and tangency portfolio user VBA loops and solver. Could you please tell me where you got this? Is there a scientific paper where this way of calculation was first published? Thanks
Very nice derivation yet again! However. Have you ever tried to calculate this on a rolling Window bases so that you could see how such an optimal portfolio would perform out of sample vs a benchmark? Maybe Dow would be ideal As it has only 30 elements. Also excel may not be the Best platform for such an analysis. However it would be a very interesting investigation. What do you think? Would you go for such test?
Hi Ferenc, and glad you enjoyed the video! I have tried this in the past, this is quite simple conceptually but can be tedious computationally. Generally I feel such a portfolio would not perform particularly well.
You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Love that you included the equations in the video as well, it makes it way easier to find them in original paper. In some videos I miss it. Great work
This way of calculation is amazing and although I hold a Master in Finance I never encountered this method. Until now, I always calculated the efficient frontier and tangency portfolio user VBA loops and solver. Could you please tell me where you got this? Is there a scientific paper where this way of calculation was first published?
Thanks
Very nice derivation yet again! However. Have you ever tried to calculate this on a rolling Window bases so that you could see how such an optimal portfolio would perform out of sample vs a benchmark? Maybe Dow would be ideal As it has only 30 elements. Also excel may not be the Best platform for such an analysis.
However it would be a very interesting investigation. What do you think? Would you go for such test?
Hi Ferenc, and glad you enjoyed the video! I have tried this in the past, this is quite simple conceptually but can be tedious computationally. Generally I feel such a portfolio would not perform particularly well.