标题: How the corner portfolios are determined ? [打印本页] 作者: jcole21 时间: 2011-7-13 17:05 标题: How the corner portfolios are determined ?
I know it's a little bit strange to ask this question now.
But I just like to know how those corner portfolios in the text are determined (how to get those corner portfolios or how the corner portfolios are derived) ?作者: NakedPuts2011 时间: 2011-7-13 17:05
Linear relationship between 2 portfolios lying in the efficient frontier.
And u choose these PF depending on the expected return u want.
U have to do that as u cannot short the Risk free asset to buy more of the market PF having the highest Sharpe ratio
Edited 1 time(s). Last edit at Monday, June 20, 2011 at 11:14AM by Fridge.作者: Valores 时间: 2011-7-13 17:05
When an asset goes from 0% to a postive %....or when an asset goes from a +% to 0%.
I think..it's been a while.作者: nannan66 时间: 2011-7-13 17:05
What I meant is " how those corner portfolios are created (how can we get those corner portfolios ? "作者: Roflnadal 时间: 2011-7-13 17:05
They are available portfolios and are the most efficient with a given level of risk/return they offer the best other variable (same exp return, lowest STD dev).
_____________________________________________________
-My friend QQQbbe, we will never forget you.作者: skycfa 时间: 2011-7-13 17:05
It's tough to explain the whole process, but you can use solver in excel to run mean variance optimization to solve for asset class weights and determine these points based on your inputs of expected returns and standard deviation for each asset class.作者: bpdulog 时间: 2011-7-13 17:05
the corner portfolios arise when you derive mean-variance efficient frontier with a constraint of no short sales.... so when you minimize variance at each level of return playing with weights (w=>0) the corner portfolios lie on the efficient frontier where one of the component assets changes it's weight from 0% to positive or vice versa作者: thommo77 时间: 2011-7-13 17:05
the simplest way is to use solver, where u set the target cell at each level of return u need, and minimize the variance, changing the cells with weights作者: Darien 时间: 2011-7-13 17:05
Another question. Are the 6 asset classes on P.252 of CFAI Text Vol 3 selected by the investor ? Or ?作者: Windjammer 时间: 2011-7-13 17:05
yes...well kind of...they are the portfolios available to the investor. In theory, you would include all available portfolios/assets in the analysis.
In reality though, this exercise is more philosophical than practical. Deterministic, one period optimization is very constraining. And if you use historical sample stats, your optimal portfolio can look very strange. So oftentimes to get a realistic optimal portfolio, if you're going to do mean variance optimization, you have to choose a limited sample of available assets, or a set of assets already aggregated into portfolios/asset classes.
