Quantitative Financial Risk Mangement
- Modern Portfolio Theory Here Mean-variance optimization is done with MPT, to test if the portfolio consisted of Gold, Oil , S&P500 and shares of Apple over a period of 6 years from 2015 till date. Then how much should you classify your assets into them based on a fixed volatility level.
Stock data is collected from Yahoo finance.
On evaluating MPT, Efficient Frontier comes out to be:
Indicating that:
m