Efficient Frontier

Portfolio analysis

Posted 29 Oct 2018

Markowitz’s Efficient Frontier

Working for a stock broker, it would be remiss of me not to look at Markowitz’s modern portfolio theory.

I won’t regurgitate what’s already been written - I’ll just help you find it…

So a couple of key articles worth a read are by Bernard Brenyah and they are:

And this posting by Ricky Kim has a end-to-end worked example:

Ricky’s post is pretty awesome and he’s made it very easy to understand what’s going on in each step.

(and for the mathematician’s out there - it’s a pretty cool example of using a Monte Carlo simulation to solve a problem)