Welcome to the Modern Portfolio Theory (MPT) series. The objective of this series is to explain the financial theory behind the Markowitz modern portfolio theory in a way that is simple to understand and easy to apply in an everyday context.
We will also be testing modern portfolio theory and optimal portfolios against more traditional portfolios. Each month, we’ll post the results of our optimal portfolio (as calculated using the portfolio theory). You’ll be able to compare the results to other portfolios in real time. The objective is to run the modern portfolio theory in real life and see if it stands up to scrutiny.
You can access our weekly updates here or follow @portfoliotheory on twitter.
There have been a number of academic and business articles written over the past few decades on both the merits and issues of the modern portfolio theory. Our view is that although no financial model can perfectly predict the future, using MPT to construct the efficient frontier and optimal portfolios can provide additional information that investors can use. We see it is a supplement to the traditional investment decision-making process–not a replacement.
This is a work in progress and the articles will continue to be posted and updated. Ideally, we’d like to incorporate your feedback to make this more a more valuable resource. Please feel free to leave me a comment below or email me at email@example.com.
We are looking for contributors, collaborators, and reviewers to assist in building this series. Our objective is to create a practical resource for both students and investors. If you are interested in reviewing the material or contributing, please send me an email. All contributions will be acknowledged.
Table of Contents
|Chapter 1:||Introduction to Portfolio Theory|
|Chapter 2:||Portfolio Data Set|
|Chapter 3:||Covariance Analysis|
|Chapter 4:||The Efficient Frontier|
|Chapter 5:||Building an Optimized Portfolio with R|
|Chapter 6:||Tracking Portfolio Performance|