14. Portfolio Theory 

11:31 What's really remarkable is we get a reduction in volatility while improving the return 12:06 Not only does the return go up, the volatility goes down 16:11 Trade-off on return and volatility (when deciding how to allocate) (higher return, higher volatility) 17:53 What if we have a -1 correlation? The variability is 0 (your only gain would be from risk-free rate) 28:51 Let's maximize the return subject to a constraint on volatility 32:08 What if we want to have some money in cash (risk-free assets) ? 35:20 We're able to improve over the efficient frontier, have a higher return and lower variance than the previous minimum variance portfolio that had no risk-free assets 41:56 Tobin's Separation Theorem: every optimal portfolio invests in a combination of the risk-free asset and Market Portfolio 47:00 How much risk are we willing to take? Extra risk, extra return 48:27 Read these papers (shows list of articles) 52:22 As you get more wealthy, the marginal benefit of additional wealth isn't as much 58:10 Holding constraints: don't want to hold more shares than the usual trading volume 1:01:19 You can limit your exposure to certain factors 1:02:32 Sometimes you want to neutralize your portfolio to the market-risk factors 1:06:36 (What would've been optimal allocation amongst 9 sectors?) 1:08:01 Don't invest more than 30% in a single ETF (in scenario) 1:10:54 If we want higher return, it takes higher risk 1:12:14 What if we reduce capital constraint from 30% to 15%? 1:14:40 The efficient frontier is lowered. For higher returns, DON'T allocate too much to higher risk ETFs

God bless you MIT

It’s actually much simpler than this. You buy the dip and you diamond hand it. Then you buy the dip and diamond hand it.

Life is a wonderful opportunity and journey and it must be Appreciated And Celebrated Happily Hopefully And Abundantly.

I can't believe how great this is! I recently read a similar book, and it was absolutely incredible. "Game Theory and the Pursuit of Algorithmic Fairness" by Jack Frostwell

Will definitely take notes on this later today. Seems of great quality. Thanks for the upload.

1:1:18 - I'm hungry !!!

Fantastic lecture. Greetings from the Royal Institute of Technology.

55:00 Utilityfunction

Coming from the stream and glad that I have ANOTHER Prof to brush up my financial lesson. Admire this Prof instructing in MY pace. Will scrape this webinar into my YT as my all time audio book. BTW, what is our Prof's name?..........STF................

It would seem that the special case of -1 correlation using derivative investments would result in a return of zero minus fees, no?

In addition to having a return equal to the risk-free rate, wouldn't a zero-volatility portfolio's growth also have to resemble a perfectly straight line?

Tb to when Ford was ~$50 and Google was ~300$...

Charlie Munger has left the chat

Great lecture from University of Toronto (Canada)

Ty

thanks for the content

Why doesn't the capital market line model address the 4th quadrant in the Cartesian plane? Depending on your time horizon, the expected return on the market portfolio could be negative...seems like the model is incomplete or overly optimistic.

19:13 "0 variance means that it's value is a constant" ... my PhD is in probability and this is the typical interpretation but not exactly true. If a random variable has 0 variance, then it's constant almost surely. The difference is in this and what the lecturer said is a matter of measure. For example, if we flip a coin infinitely many times and count how many are heads, tails, and how many lands on it's side, we'll find that out of the infinitely many flips, only finitely many (a set of measure 0 according to the counting measure) land on their side. It is not true that a coin won't land on its side, only that the measure of relative frequency is 0, i.e. it won't land on it's side almost surely.

I always wonder if these professors are rich; and if not, why?

This is awesome!

thank you so much

At 14:30 I got something different: w= sigma_1^2/(sigma_1^2+sigma_2^2) Am I doing something wrong here?

thanks

Lost…

Good

This guy looks like the Goldman Sachs guy

This is MIT stuff ? We had way more detailled and better lectures about the portfolio theory ! Department of public administration at Panteion university rules !

And they still can't outperform $SPY.

first derivative positive not increasing

the man should speak mathematics, but seems that mathematics is speaking the man.

i have a quetion... at the portolio(which has two assets with zero correlation), is the two assets stand for the risk asset?????? plz answer

Its not theory when u invest in bitcon

Merrr my pocket protector!

What 😂

Eggheads

boring

I appreciate free, but the ums and ahs make this impossible to listen to.

Why the finance people are too much boring ?

Will definitely take notes on this later today. Seems of great quality. Thanks for the upload.