I know how to calculate for 2 assets, but how to calculate the weighting of a min var portfolio consisting more than two assets? lets say 7 assets, where the mean(average return), variance, stdv is known for each of them, how to calculate the portfolio weighting for each assets/investments?
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10-19-2010, 03:37 AM #1
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Calculate the minimum variance portfolio consisting more than two assets?
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12-21-2010, 02:15 PM #2Unregisteredchickenlittle
GuestRe: Calculate the minimum variance portfolio consisting more than two assets?
is this mike pan that went to western?
anyways you would have to set up a covariance matrix with the covariance of each stock in the portfolio with each other stock in the portfolio and then do a massive system of equation to solve for one of the stock's weightings... usually you just do that in excel if you know how using some of the matrix functions.
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