Markowitz Portfolio Theory

i never thought i would be studying such stuff again.. and voluntarily too!!!

Expected return:-

Where Ri is return and wi is the weighting of component asset i.

Portfolio variance:-

where . Alternatively the expression can be written as:


where ρij = 1 for i=j.

Portfolio volatility:-

For a two asset portfolio:-

Portfolio return:
Portfolio variance:

the things i do to get out of audit....

reminds you of a very bad day in finance class, doesn't it???

i now have to dreg up what is left from stats/finance class during JC/NTU days & try to put them in practice...

thank God i have till Dec...