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The objective of this project is to learn how the Nobel Prize winning, Optimal Portfolio Theory (by Harry Markowitz), works in practice. The for the stock portfolio is plotted. The stock portfolio possibilities space is derived by assigning different weights for each stock using a random number generator. To let the computer select the optimal portfolio, the efficient frontier-Sharpe Ratio is used. In this case, the portfolio corresponding to the largest Sharpe Ratio is the optimal portfolio.
See Examples below;
Standard Deviation and Mean
>
Lotto Number Generator
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Playing Card
Probability
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Normal Distribution Random Number Generator
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Monte Carlo Integration
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Black-Scholes Option Pricing Model - European Call and Put
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Binomial Option
Pricing Model
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Portfolio Optimization
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Multiple Regression
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Bootstrap - A
Non-Parametric Approach
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Multivariate Standard Normal Probability Distribution
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Monte Carlo Simulation
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Option Greeks Based on Black-Scholes Option Pricing Model.
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