Optimization Methods in Asset Management

Frequently Asked Questions

Support Document

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This Frequently Asked Questions (FAQ) document contains a list of questions asked by Financial
Engineering and Risk Management students over the years. You will find a variety of topics related to
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Week 3: Mean-Variance Analysis and CAPM Problem Set Quiz

Question 1 and Question 2

Question 4 and Question 6

1
Question: What are some suggested textbooks for this course?

Question: How do you calculate the mean return for a given asset in portfolio optimization?

Question: How do you generate random portfolios?

2
Question: How do you find the benchmark for each asset class?

Question: Why do negative weights imply that the market cannot be at equilibrium?

3
Question: How do you solve the issue with matrix multiplication value in Excel?

Question: How do we defer the course?

Question: How do we connect CAPM to regression?

4
Is the efficient frontier linear?

https://www.treasury.gov/resource-center/data-chart-center/interest-rates/pages/textview.aspx?data=yield

5
Question: How is CAPM applied to find assets that do not lie on the security market line?

Question: How do I understand a negative weight in portfolio optimization?

6
Week 5: Practical Issues in Implementing Mean Variance Problem Set Quiz

Question 1 and Question 2 Support

Question 3 and Question 4 Support

7
Question 5 and Question 6 Support

https://stattrek.com/online-calculator/binomial.aspx

Question 7 Support

Question: How do you calculate true mean and true covariance?

8
How is 0.0107 calculated in the explanation video?

Derivation for leveraged ETF gross return approximation formula:

Question: How do I apply an efficient frontier with robust constraints for realistic data?