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.

Aimages/Zdravka Aljinovic Erasmus Ioannina

Please find attached the material of the lecture.