Stock Price Simulation with Geometric Brownian Motion and Efficient Frontier
Through the experiment, I was able to optimise a stock portfolio and draw an efficient frontier. In addition, I created random and equal-weighted portfolios, which I then compared with the efficient frontier. The findings were clear and consistent. Buying a random portfolio was found to significantl...
| Autor principal: | |
|---|---|
| Formato: | Dataset |
| Idioma: | English |
| Publicado em: |
University of Oxford
2024
|
| Resumo: | Through the experiment, I was able to optimise a stock portfolio and draw an efficient frontier. In addition, I created random and equal-weighted portfolios, which I then compared with the efficient frontier. The findings were clear and consistent. Buying a random portfolio was found to significantly reduce risk compared to buying stocks individually. Similarly, choosing an equal-weighted portfolio led to a selection remarkably close to the efficient frontier. These results instil confidence in the effectiveness of these strategies for stock portfolio optimisation. |
|---|