In: Ekonomický časopis/Journal of Economics, vol. 54, no. 1
Vladimír Mlynarovič
Details:
Year, pages: 2006, 80 - 97
Keywords:
investment analysis, efficient portfolios sets, investor’s risk attitude, VBA procedure
JEL Classification: G11
Article type: vedecký článok
About article:
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 spe-cially 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.
How to cite:
ISO 690:
Mlynarovič, V. 2006. Investment Opportunities Efficient Frontiers Modelling. In Ekonomický časopis/Journal of Economics, vol. 54, no.1, pp. 80-97. 0013-3035.
APA:
Mlynarovič, V. (2006). Investment Opportunities Efficient Frontiers Modelling. Ekonomický časopis/Journal of Economics, 54(1), 80-97. 0013-3035.