emlyon faculty: Pr. Bertrand Maillet
in collaborations with: Zhining Yuan and Pr. Xiang Zhang – School of Finance, Southwestern University of Finance and Economics (SWUFE), Chengdu, China
This project explains and explores a technique for the n-asset portfolio optimization routine, which is both easy to understand and remember, and fast, quick and scalable when implemented by users. Fully exploiting the existing literature, the proposed method allows the user to optimize a portfolio within the simplest 2-asset case. Comparisons between our procedure and the commonly used methods in the literature (like the traditional Variance-Covariance approach implemented with the MS Excel Solver function) show that the proposed optimization procedure gives an equivalent but easier to implement Efficient Portfolio Frontier. Additionally, the project provides a scholar example of calculating an optimal portfolio using the proposed procedure for large databases of US, Chinese, French and stocks. As such, the outcome of this project is designed for being used as a guide for teaching the portfolio mean-variance analysis technique while applying the Markowitz model in friendly practical exercises for users, as well as for automatic detection purposes in performance measurement with big financial datas.