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...
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| Format: | Dataset |
| Language: | English |
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University of Oxford
2024
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| _version_ | 1811139478808428544 |
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| author | Oketunji, A |
| author_facet | Oketunji, A |
| author_sort | Oketunji, A |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-09-25T04:06:44Z |
| format | Dataset |
| id | oxford-uuid:3a3a1b69-de36-4985-a6c6-ee88fbf20061 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-09-25T04:06:44Z |
| publishDate | 2024 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:3a3a1b69-de36-4985-a6c6-ee88fbf200612024-06-03T19:02:24ZStock Price Simulation with Geometric Brownian Motion and Efficient FrontierDatasethttp://purl.org/coar/resource_type/c_5ce6uuid:3a3a1b69-de36-4985-a6c6-ee88fbf20061EnglishSymplectic ElementsUniversity of Oxford2024Oketunji, AThrough 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. |
| spellingShingle | Oketunji, A Stock Price Simulation with Geometric Brownian Motion and Efficient Frontier |
| title | Stock Price Simulation with Geometric Brownian Motion and Efficient Frontier |
| title_full | Stock Price Simulation with Geometric Brownian Motion and Efficient Frontier |
| title_fullStr | Stock Price Simulation with Geometric Brownian Motion and Efficient Frontier |
| title_full_unstemmed | Stock Price Simulation with Geometric Brownian Motion and Efficient Frontier |
| title_short | Stock Price Simulation with Geometric Brownian Motion and Efficient Frontier |
| title_sort | stock price simulation with geometric brownian motion and efficient frontier |
| work_keys_str_mv | AT oketunjia stockpricesimulationwithgeometricbrownianmotionandefficientfrontier |