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What is Portfolio Optimization in CAPM about?

This document discusses portfolio optimization with multiple risky assets. Some key points: 1. Portfolio optimization can be formulated to maximize return for a given risk level, minimize risk for a given return level, or maximize risk-adjusted return. 2. Lagrange multipliers can be used to solve the optimization problem of maximizing risk-adjusted return subject to a budget constraint. 3. The optimal portfolio is a combination of the minimum-risk portfolio and a "zero-covariance" portfolio. 4. The s

Author

Claire Zhang

Language

EN