Modern Portfolio Theory | Training Academy
Watch our new Training Academy video focusing on Modern Portfolio Theory and Mean-Variance Optimisation.
In this video, we explain how to achieve the optimal balance between risk and reward by breaking down the mathematical components of covariance and correlation matrices and demonstrating how to calculate portfolio risk and return using mean-variance formulas. The video also walks through a practical 2-asset portfolio example, outlines the mechanics of the Sharpe Ratio, and details the mathematical derivation of the Global Minimum-Variance Portfolio (GMVP) alongside the Minimum-Variance Frontier. Finally, we introduce risk-free assets to construct the Capital Allocation Line (CAL) and the Capital Market Line (CML), then bring everything together in an interactive Excel walkthrough on portfolio optimisation.
Materials used in the video can be accessed on our website:
Link to the full video on YouTube:
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