{"title":"最小方差组合、切线组合和相关矩阵代数","authors":"Tom Arnold, Terry D. Nixon","doi":"10.2139/ssrn.3607332","DOIUrl":null,"url":null,"abstract":"The matrix algebra associated with finding minimum variance portfolio weights and tangency portfolio weights is greatly simplified by using an Excel presentation. A further simplification of the tangency portfolio weights process is also presented using excess returns for the risky securities. The lesson drawn from this presentation is readily performed online by sharing or recording an Excel screen with students.","PeriodicalId":143061,"journal":{"name":"Practitioner Articles & Resources eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Minimum Variance Portfolio, the Tangency Portfolio, and the Associated Matrix Algebra\",\"authors\":\"Tom Arnold, Terry D. Nixon\",\"doi\":\"10.2139/ssrn.3607332\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The matrix algebra associated with finding minimum variance portfolio weights and tangency portfolio weights is greatly simplified by using an Excel presentation. A further simplification of the tangency portfolio weights process is also presented using excess returns for the risky securities. The lesson drawn from this presentation is readily performed online by sharing or recording an Excel screen with students.\",\"PeriodicalId\":143061,\"journal\":{\"name\":\"Practitioner Articles & Resources eJournal\",\"volume\":\"8 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-05-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Practitioner Articles & Resources eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3607332\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Practitioner Articles & Resources eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3607332","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The Minimum Variance Portfolio, the Tangency Portfolio, and the Associated Matrix Algebra
The matrix algebra associated with finding minimum variance portfolio weights and tangency portfolio weights is greatly simplified by using an Excel presentation. A further simplification of the tangency portfolio weights process is also presented using excess returns for the risky securities. The lesson drawn from this presentation is readily performed online by sharing or recording an Excel screen with students.
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