Download This PaperThe Minimum Variance Portfolio, the Tangency Portfolio, and the Associated Matrix Algebra
32 Pages Posted: 16 Jun 2020
Date Written: May 21, 2020
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.
Keywords: Minimum variance portfolio, Tangency portfolio, Matrix algebra
JEL Classification: G00, G11
Suggested Citation: Suggested Citation
Arnold, Thomas M. and Nixon, Terry David, The Minimum Variance Portfolio, the Tangency Portfolio, and the Associated Matrix Algebra (May 21, 2020). Available at SSRN: https://ssrn.com/abstract=3607332 or http://dx.doi.org/10.2139/ssrn.3607332
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