Jingzhi Huang, Thesis Supervisor Dr. Brian Spangler Davis, Thesis Honors Advisor Dr. Brian Spangler Davis, Faculty Reader
Keywords:
Minimum Variance Frontier Markowitz Portfolio Theory Modern Portfolio Theory Diversification Portfolio Management
Abstract:
Portfolio managers of all kinds are faced with the challenging task of building the most efficiently diversified portfolio by selecting investment instruments from wide array of risky and risk-free investment opportunities. The concept of diversification has been around for centuries, but it was not until 1952 when Harry Markowitz brought about the Modern Portfolio Theory that diversification optimized through the minimum variance frontier. The minimum variance frontier minimizes the level of volatility for a given level of expected return for a portfolio. This paper aims to discover what different compositional changes made to the portfolio will result in the best return-risk dynamic of the minimum variance frontier. Results will bring about better understanding of the relationship between specific key financial characteristics and qualities of investment instruments and performance of the minimum variance frontier.
