Investment Opportunities Efficient Frontiers Modelling
Investment Opportunities Efficient Frontiers Modelling
Author(s): Vladimír MlynarovičSubject(s): Economy
Published by: Ekonomický ústav SAV a Prognostický ústav SAV
Keywords: investment analysis; efficient portfolios sets; investor’s risk attitude; VBA procedure
Summary/Abstract: Paper presents some techniques for portfolios efficient set modelling in Excel. From the technical point of view one needs to solve a series of quadratic programming problems that are known as Markowitz portfolio selection prob-lems. For an effective realisation of solving the process, the Excel solver specially created VBA procedures were used. The first part of the paper illustrates an application of the procedures for modelling efficient portfolio sets of selected countries on the base of one year performances of their markets in period from 1900 to 2000. In the second part the methodology of efficient frontier modelling in Excel environment is presented together with its illustration for modelling of efficient portfolios sets of selected capital market segments.
Journal: Ekonomický časopis
- Issue Year: 54/2006
- Issue No: 01
- Page Range: 80-97
- Page Count: 18
- Language: English