Portfolio Management

Calculate portfolio risk and return in Excel by applying matrix algebra to returns, weights, and covariance, then derive portfolio variance.

Explore the mathematics of the minimum variance portfolio, from two-asset derivations to matrix algebra with multiple assets, using variance-covariance, correlation, and Lagrangian methods to enforce weight constraints.

Learn to compute a minimum variance portfolio for two assets in Excel using Solver, derive the optimal weights, and appreciate the role of correlation and standard deviations.

Learn to construct a global minimum variance portfolio across multiple assets in Excel by using excess returns, covariance matrices, and matrix algebra for optimized weights.

Learn how to construct the efficient frontier for a two-asset portfolio in Excel, calculating returns, variance and standard deviation, and identifying the global minimum-variance frontier.

Learn to estimate the single index model in Excel, using stock returns, alpha, beta, and the residual to gauge idiosyncratic volatility for portfolio management.

Explore the Fama French three-factor model, including market, size (small minus big), and value (high minus low), alpha, beta, and residuals, with a Berkshire Hathaway example and regression interpretation.

Explore the four factor model, where returns are explained by the market, small-minus-big, high-minus-low, and momentum factors, estimated via Excel regression.