EXCEL Covariance Matrix & Portfolio Variance
Автор: The Quant Professor
Загружено: 2025-04-08
Просмотров: 207
Описание:
This video continues the series of matrix applications using Excel, this time for doing Multivariate Analysis for Portfolios. The question is, what is the portfolio return and portfolio variance given a particular set of stocks. While the approach here uses Modern Portfolio Theory, it can be extended to any other discipline that requires taking a look at a Big-Picture view and not just an individual analysis of component parts.
00:00 Introduction
00:17 Portfolio Treatment
00:35 Review of Mean, Variance etc
01:50 Portfolio Approach
02:09 Portfolio return and variance?
03:27 Variance-Covariance Matrix
03:58 Matrix Formula for Portfolios
05:00 How to construct the Covariance Matrix
06:53 Working with Mean-Adjusted Matrices
08:01 Worksheet Exercises
10:36 Portfolio Calculations
For access to the QuantProf Add-in, please visit
https://drive.google.com/drive/folder...
See also the Multivariate Analysis w matrices EXCEL FILE
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