MPT solves for the optimal portfolio weights to minimize volatility for a given expected return, or maximize returns for a given level of volatility. The key requisite input are expected asset returns, standard deviations, and the covariance matrix.
MPT solves for the optimal portfolio weights to minimize volatility for a given expected return, or maximize returns for a given level of volatility. The key requisite input are expected asset returns, standard deviations, and the covariance matrix.
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