Mean Variance Portfolio Optimization II

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  • Опубликовано: 21 сен 2024

Комментарии • 8

  • @anindadatta164
    @anindadatta164 4 года назад +1

    The origin of the utility function is not clear. The assumption of std deviation of return from shares to be 1 means the returns follow standard normal distribution. In such case, the expected returns need to be zero and not 1,2 ,3. Most of the time , the presenter's body blocks the board , so nothing is visible.

  • @ParitoshRakesh-u1z
    @ParitoshRakesh-u1z Год назад

    How did you came up with that Utility Function. This ruins the whole hard work of patiently watching and making notes from the first lecture.

  • @ypzhu5526
    @ypzhu5526 6 лет назад

    what is the reference books of this part?

  • @Tyokok
    @Tyokok 4 года назад

    3:30 , how did you come up with that utility function?

    • @ritasreede7460
      @ritasreede7460 9 месяцев назад +2

      The utility function is basically the objective function of the investor. You want to maximize the return and minimize the risk (hence negative sign), and you multiply 1/2 with risk simply for ease of calculation.

    • @Tyokok
      @Tyokok 9 месяцев назад

      @@ritasreede7460 Hey Sir, thank you so much for your explaining! That's greatly helpful! God Bless!🙏

    • @Tyokok
      @Tyokok 9 месяцев назад

      @@ritasreede7460 thank you so much for reply!