minimum-variance-portfolio

  1. Nicole Seaman

    YouTube T1-7 How the portfolio possibilities curve (PPC) illustrates the benefit of diversification

    When correlations are imperfect, diversification benefits are possible. The portfolio possibilities curve illustrates this and it contains two notable points: the minimum variance portfolio (MVP) and the optimal portfolio (with the highest Sharpe ratio), At the end, I summarize four features of...
    • Nicole Seaman
    • Thread
    • diversification minimum-variance-portfolio optimal-portfolio portfolio-possibilities-curve sharpe-ratio youtube
    • Replies: 0
    • Forum: P1.T1 Foundations of Risk
  2. Jorge.Beca

    Derivation of minimum variance portfolio

    Hi, I am going through the excel sheet (R8-P1-T1-Elton-CAPM-v3) in section 9, and I saw the formula to find out Wa for the Minimum variance portfolio. It is not very intuitive to see that that formula is the 1st derivative of the portfolio variance with respect Wa. I know the formula is not part...
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