Introduction to financial modeling, Zdravka Aljinović
Prof. Zdravka Aljinović from University of Split gave us a lecture (30/9/2014) about basic portofolio optimization and Markowitz methods.
Introduction to financial modeling
- Basics of the Modern Portfolio Theory; Portfolio Mean and Variance, Calculating the Variance - Covariance Matrix.
- Theoretical framework of the Markowitz’ model, the minimum variance set, efficient portfolio, efficient frontier - short sale allowed, efficient frontier without short sale.
- Is Variance a proper risk measure? - An Alternative Risk Measures.
- CAPM, beta, testing CAPM.
- Demonstration and Calculation in Excel.
Please find attached the material of the lecture.