Quant Research · Research
Portfolio Theory
Markowitz's insight: risk depends on how assets move together. Portfolio return and variance, diversification and correlation, the efficient frontier, the Sharpe ratio and capital market line, and CAPM's beta.
Step 1 of 6 · Overview40 min read ·
Key idea
Prereqs: Statistics for quants; Distributions; Python for finance (helpful). Next: Factor models. Follows Markowitz (1952), Sharpe (1964), MIT 15.401 and Bodie–Kane–Marcus *Investments* ch. 6–9.Next: 1. Two assets