Understand and Operationalize Markowitz´s Portfolio Theory with Excel´s Solver Add-in & R´s fPortfolio Package
What you'll learn:
- Optimize for the highest Sharpe ratio in a real data portfolio using Excel´s Solver Add-in and R´s fPortfolio package
- Undestand and Operationalize Markowitz´s Portfolio Theory
- Calculate Variance and Sharpe ratio for a twenty-asset portfolio
- Compute Covariance and Correlation of two assets
- Calculate Value at Risk (VaR) of a Portfolio
- Learn basic Vector Algebra (Matrix Multiplication)
Would you like to be able to optimize asset portfolios, using market data to maximize the expected return per unit of risk? That´s precisely what you will learn in this course “Investment Portfolio Optimization in Excel and R.” My name is Carlos Martínez, I have a Ph.D. in Management from the University of St. Gallen in Switzerland. I have presented my research at some of the most prestigious academic conferences and doctoral colloquiums at the University of Tel Aviv, Politecnico di Milano, University of Halmstad, and MIT. Furthermore, I have co-authored more than 25 teaching cases, some of them included in the case bases of Harvard and Michigan.
This is a very comprehensive course that includes presentations, tutorials, and assignments. The course has a practical approach based on the learning-by-doing method in which we will build an optimal portfolio from the real prices of 20 companies. In addition to the videos, you will have access to all the Excel files and R codes that we will develop in the videos and to the solutions of the eight assignments included in the course with which you will self-evaluate and gain confidence in your new skills.
After a brief introduction to the theoretical framework, we will illustrate all the concepts of the theory with a portfolio of two assets, with which we will elaborate the efficient frontier, and estimate the optimal portfolio and the capital market line. Then, we will extrapolate these learnings to a portfolio of 20 assets, and estimate the weights of a portfolio that maximizes the expected return per unit of risk. Once we know portfolio theory in-depth, we will have earned the right to use R´s fPortafolio package, with which we will be able to automate all the vector algebra procedures using R´s computational power.
The ideal students of this course are university students and professionals in numerical areas interested in pursuing a career as financial analysts or investing in risk assets. The course includes an introduction to vector algebra so the only requirement for the course is a basic knowledge of spreadsheets and R.
I hope you are ready to upgrade yourself and learn to optimize investment portfolios with excel and R. I´ll see you in class!