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Construct an Optimization Model for an Investment Portfolio
Minh Le
Minh Le
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Construct an Optimization Model for an Investment Portfolio

Learn how to structure and create an optimization model and efficient frontier for a portfolio.

Register today
Apply now
Mondays
 at
6:00
P.M.
 ET /
3:00
P.M.
PT
8 weeks, 2-3 hours per week
Beginner
No experience required
No experience required
Some experience required
Degree and experience required

Description

The concept of the frontier forms the basis of portfolio theory, which pertains to how investors seek to build a portfolio that maximizes expected returns while managing a certain level of risk. It aids investors in comprehending the risks and rewards within their portfolios, assessing how they stack up against the most efficient array of portfolios. In the finance field, you're likely to come across discussions on the efficient frontier in finance research papers or on financial news channels like Bloomberg or CNBC. Are you interested in discovering how to create a frontier from scratch and understanding its advantages and limitations? Would you like to delve into the fundamentals of portfolio management? If so, this project is perfect for you.

Session timeline

  • Applications open
    March 11, 2024
  • Application deadline
    April 7, 2024
  • Project start date
    Week of July 8, 2024
    Week of
    April 29, 2024
  • Project end date
    Week of

What you will learn

  • Compute descriptive statistics and calculations for a portfolio such as portfolio mean, variance, correlation, covariance between two portfolios, Sharpe ratios, etc.
  • Build a financial model to calculate and construct an efficient portfolio and efficient frontier using Microsoft Excel
  • Analyze market information and incorporate investor views into the optimization model using Black-Litterman approach
Build Projects are 8-week experiences that operate on a rolling basis. Selected participants engage in weekly live workshops with a Build Fellow and 2-15 other students.

Project workshops

1
Introduction and Overview
2
Business Statistics
3
Factor Models
4
Efficient Portfolio Modelling Part I
5
Efficient Portfolio Modelling Part II
6
Portfolio Performance Evaluation
7
Fixed Income Portfolio Management
8
Final Presentation

Prerequisites

  • Strong familiarity and interest in using Microsoft Excel to construct financial model. Basic familiarity with Excel Visual Basic for Application (VBA) programming would be advantageous.  
  • Interest in investing and portfolio management.
  • Knowledge of portfolio management and basic economics concepts such as capital asset pricing model, active/passive portfolio management, asset allocation, supply and demand, etc.

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About the expert
Minh Le
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Minh
's Linkedin

Minh Le is a Finance Fellow at Open Avenues Foundation, where he works with students leading projects in Finance and Asset Management.

Minh Le is a Managing Director at North Capital Private Securities where he works on different aspects in the private securities industry, including research, due diligence, secondary trading, and custodial services. Minh Le has seven years of experience working in the private securities space.

Prior to working at North Capital, Minh was a Venture Capital Associate at University Growth Fund, a student-run venture fund based in Salt Lake City, Utah, and an Investment Intern at Deseret Management Corporation, a Utah insurance company.

He holds a degree in Finance.

A fun fact about Minh: he enjoys running and cooking Vietnamese foods.

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