Modern Portfolio Theory
Derivations of the formulae used in this implementation of Markowtiz’s Modern Portfolio Theory (MPT) are provided in this document. Their Python implementation is available here.Choose a collection of assets to consider for a candidate portfolio.
Hint: Start typing to find a particular ticker. Use backspace to remove tickers quickly. The list of selectable tickers comes from the stocks in the S&P 500.ONRVTYTMOSAPHPANWWFCSTZBBYJCICOFPCARWABMROCBREUDRNTRSSPGIRCLTSNKEYVLTOPGDVAHWMMRNABKNGPTCLDOSPARAHPQFOXABNBIQVCPAYUBERPMALBMETASTTNVDAGPNXYLCMCSATTWOMDTIRHUBBMSKMICFGGOOGLNIWYNNAMPCTASIFFSMCIMAAROSTWECFSLRCCLEXRDLULUTTCDNSCMINFLXWBDPFEFCXEXPEFTVEBAYPSXAMDCOSTDAYAMEAXONEVRGCNCEQIXOKEFFIVHLTOAIGRFMDLZGPCVTRSBLKBRCATRSGCMEAMAT
Allow Short Selling
Select whether to allow short positions within the portolio.Risk free rate
The risk free rate is used to calculate the tangency portfolio. The 3-month U.S. Treasury bill has a current yield of 5.23%.r
%
Date Range
Asset statistics are calculated based on price action during a date range. Use the slider to adjust the date range used for the calculation.Start Year: 2015
End Year: 2025
The efficient frontier, or set of efficient portfolios is indicated by the solid white line. These portfolios are "efficient"/optimal in the sense that they achieve the minimized risk (volatility) for a given level of expected return.