Efficient portfolio frontiers with allocation constraints (Excel)

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  • เผยแพร่เมื่อ 27 ต.ค. 2024

ความคิดเห็น • 8

  • @NEDLeducation
    @NEDLeducation  ปีที่แล้ว +3

    You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
    Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

  • @sevdaaliyeva7160
    @sevdaaliyeva7160 5 หลายเดือนก่อน

    Hi. Amazing video and explanation. Bu t I could not understand the alpha, beta, gamma, and delta part. Can you recommend a source where I can learn it? Thanks in advance.

  • @tshegophale2622
    @tshegophale2622 ปีที่แล้ว

    Yet another stellar job, welldone. One could also add Tracking error or level of diversification (or any other, really) as additional constraints particularly when you have a large number of assets in your portfolio, just need to check how many constraints can solver handle. With that said however, more restrictions results in non-optimal results, so always need to be reasonable on that front. Luckily Python has a few more solver types that can handle advanced/complex constraints.

    • @NEDLeducation
      @NEDLeducation  ปีที่แล้ว +2

      Hi Tshego, and thanks so much for the feedback! Allocation constraints generally address this sort of logic (adequate diversification, etc.) quite well, what can be added if there is a large number of assets is the active share (to prevent overweighting into small-caps). I have got a simple video on that here: th-cam.com/video/u5ycLGtr0-I/w-d-xo.html Might do something more advanced along these lines in the future!

  • @bentansley1720
    @bentansley1720 ปีที่แล้ว

    Sorry if this a stupid question, but does this work for asset classes broadly, as I note the absence of a correlation matrix.

  • @dhairyapatel1073
    @dhairyapatel1073 ปีที่แล้ว +1

    Hi, can you please create a video on creating the frontier with short selling constraints in python. I saw the general frontier video in python, thanks a lot for that, however as you said taking short positions may not be possible and excel solver won’t help in realistic cases

    • @NEDLeducation
      @NEDLeducation  ปีที่แล้ว +1

      Hi Dhairya, and thanks for the suggestion! Since this video is doing quite well, I will be making a Python tutorial as well.

    • @dhairyapatel1073
      @dhairyapatel1073 ปีที่แล้ว

      @@NEDLeducation thanks alot, waiting for it