18. Modern Portfolio Theory (MPT) and CAPM

Introduction to MPT and CAPM

Contents.

• Problem setup.

• Analytical solution, for fully-invested portfolio with no constraint on short-selling and leverage.

• Some Jupyter notebooks to play with1

  • Examples

  • Asset correlation in MPT-CAPM

  • Uncertainty and Sensitivity of the results to data uncertainty

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1

These notebooks are the Python equivalent of the html+js applications shown in this page.