You have explained in less than 50 minutes what my lecturer struggled to explain in 3 months. Thank you!
@daveframi57153 жыл бұрын
*The following content is created under an intellectual property license* Never have I ever seen such perfect and clear explanations.
@phoebegarret45943 жыл бұрын
ok
@brennarachelle49863 жыл бұрын
👍🏻
@tonettespector93833 жыл бұрын
@Dave Frami *Please send me the IP license*
@mellissadays7003 жыл бұрын
@aisha houra How did you put all outlines as clickable comments ?
@henriettaprestridge14023 жыл бұрын
Haha !
@leahprice11613 жыл бұрын
This lecture slaps harder than my dads belt.
@joelmarshall49893 жыл бұрын
I love the math flow starting at 06:40 Thanks a lot Ahmad !
@karliefarrell67103 жыл бұрын
Mesmerizing insights and its for free!!.. Good job Ahmad !
@louisrobertson36983 жыл бұрын
This lecture will make your pocket rocket 🚀
@tubzzsheff3 жыл бұрын
It sure did pocket made 5K USD yesterday thanks to this opt problem.
@aishahoura26193 жыл бұрын
00:00 Introduction 00:47 Markowitz Portfolio Optimization Problem (a recap) 03:08 Lagrangian Function 05:38 Optimal Weights 11:11 Lagrangian Multiplier Solutions 21:35 Our Portfolio Solver Equation 22:17 Python Implementation: SciPy approach (method 1) 33:36 Python Implementation: Our Solver (method 2) 37:28 Comparisons: SciPy Solver vs Our Solver 41:00 Summary 41:40 Outro
@rebbeccagehl56023 жыл бұрын
Very helpful
@frankfernandez64243 жыл бұрын
Wow now I can use your equation to do my own solver. Thanks.
@aishahoura26193 жыл бұрын
I just did and it works perfectly
@thomasyonsy32613 жыл бұрын
Suppose two portfolios A and B have an expected return of 10% each. But A’s risk is 8% while that of B is 12%. Looking at these two portfolios you would think, both give the same returns, but A has lower risk, I’ll buy A. But if you’re adventurous, you’d say portfolio A can return between 2% and 18%, while B can give between -2% and 22%. You might choose B. Portfolio B offers a chance of getting 22% return but there’s also the possibility that instead of making gains, you might end up losing money. The additional return is compensation for additional risk. Hence the notion, the higher the risk the higher the return. How do you make an optimal portfolio? By selecting the right combination of assets. If two assets are similar, then their prices will move in a similar pattern. Say, two Exchange Traded funds or ETFs from the same economic sector tend to show similar price movement, while, ETFs from different sectors show dissimilar price movements, as they lack correlation, making them a suitable set of eggs for your basket. Correlation is measured on a scale of -1 to +1. +1 indicates positive correlation where prices of two assets move par-for-par, while -1 shows negative correlation; prices move in opposite direction. If you put two assets with correlation of +1 in a portfolio, the risk they bring to portfolio will be the sum of the weighed risk of individual assets. However, if you put a pair of assets with correlation of less than 1, then the risk of the resulting portfolio will be less than the sum of the weighed risk of individual assets. By selecting different asset combinations you can achieve every risk to return combination in a portfolio. And this brings us to the efficient frontier, which is a graphical representation of different combinations of assets to achieve an optimal level of return at any given level of Risk. With risk on X-axis and return on Y-axis, this hyperbola shows all outcomes for various portfolio combinations of risky assets. This Straight Line is the Capital Allocation Line, which represents a portfolio of all risky assets and the risk-free asset, like government bonds. Tangency Portfolio is the point where the portfolio of risky assets meets the combination of risky and risk-free assets. And this portfolio maximizes return for a given level of risk. As you move towards the right along the lower part of the hyperbola you get lower returns at higher risk. Do the same along the upper part and you get higher returns at higher risk. The take away is that an asset's risk and return should not be assessed by itself, but by how it contributes to a portfolio's overall risk and return. We utilize Modern Portfolio Theory in our module 1, which has allowed us to achieve such returns…
@AhmadBazzi3 жыл бұрын
Some good argument I see
@aishahoura26193 жыл бұрын
@@AhmadBazzi lol wow
@millielaw11953 жыл бұрын
This video sums up what took me about 4 years of gradual self learning to know in only 42 minutes!
@AhmadBazzi3 жыл бұрын
Wow glad it did
@emiliacofer5493 жыл бұрын
28:45 Thanks for showing me how to use scipy minimize function. Always had troubles with it.
@jeromehebert67983 жыл бұрын
I have never seen anybody teach so clearly
@AhmadBazzi3 жыл бұрын
Oh wow, thanks Jerome !
@allisonwhitten33133 жыл бұрын
This man is amazing.. very knowledgeable & good at explaining. Well done KZbin for recommending me here.
@turkuevievi90053 жыл бұрын
I have so much respect for how a good explainer you are. This video is amazing. Very clear, structured and most importanty calm (good comfort for ones who find these processes taunting already).
@AhmadBazzi3 жыл бұрын
Wow, thank you!
@cameronwoodward20263 жыл бұрын
Your explanation makes it much easier to understand. Thanks.
@klaraprice23553 жыл бұрын
Brilliantly articulated multiple concepts within limited time, Thank you.
@tracemckenzie83223 жыл бұрын
I think one needs to be a genius in order to be able to explain such an incredibly complex thing in such a beautifully simple way.
@vtoroy1223 жыл бұрын
Интересная информация, благодарю за нее
@ДенисКожин-е5ш3 жыл бұрын
Clear lecture. Disclaimer: No student debt was created during the watching of this video.
@velmaaronson96943 жыл бұрын
Amazing video needs to be shown in universities thank you for the development of this video.
@БеняКузин3 жыл бұрын
Oh my GOSHHH. I am going to watch this so many times
@emilybird97613 жыл бұрын
I swear I’ve learnt more during this quarantine than all the years I was in school 🙌🏽 I’m a new person now lol
@AhmadBazzi3 жыл бұрын
Wow that is awesome. Keep up the KZbin learning Emily. KZbin is a very rich source where you could learn almost anything.
@tedsmith60753 жыл бұрын
Learnt more in this four lecture than in the 4 months in class ✌🏻
@thejoker94183 жыл бұрын
Thank you very much Ahmad !
@AhmadBazzi3 жыл бұрын
You are very welcome
@ericritchie93633 жыл бұрын
I wish my Professors approach their lectures like this.
@aishahoura26193 жыл бұрын
Lmfao mine as well they suck
@bobbieosborne74793 жыл бұрын
A brilliant explanation of MPT. Wish I had come across this sooner. Thank you !
@AhmadBazzi3 жыл бұрын
Glad it was helpful!
3 жыл бұрын
MPT which is Modern Portfolio Theory considers how an investor should choose a portfolio with a good trade-off between risk and expected return. Markowitz showed that the set of possible expected returns and risks.
@AhmadBazzi3 жыл бұрын
Correct
@eneserdogan16263 жыл бұрын
In finance, the Markowitz model - put forward by Harry Markowitz in 1952 - is a portfolio optimization model; it assists in the selection of the most efficient portfolio by analyzing various possible portfolios of the given securities. Here, by choosing securities that do not 'move' exactly together, the HM model shows investors how to reduce their risk. The HM model is also called mean-variance model due to the fact that it is based on expected returns (mean) and the standard deviation (variance) of the various portfolios. It is foundational to Modern portfolio theory.
@Ondermuhabbetkusu3 жыл бұрын
Portfolio management can be painful because it's all about making decisions about investment mix and policy, matching investments to objectives, asset allocation for individuals and institutions, minimising risk while keeping good returns and balancing risk against performance and not everyone could handle this successfully. Ahmad did an excellent job in clarifying all concepts jointly.
@canerozturk80873 жыл бұрын
you explained it as simple as possible.. thanks
@AhmadBazzi3 жыл бұрын
You are welcome
@kalicorkery82743 жыл бұрын
This was extremely helpful and needed. Thank you so much.
@gurhan_aydn-edits86613 жыл бұрын
Thanks alot sir I really do appreciate your help with this video, I started off in this market not seeing the results I expected
@AhmadBazzi3 жыл бұрын
Glad it helped
@Timofte_ATB3 жыл бұрын
An excellent video with useful information.
@trevormasters7223 жыл бұрын
Underrated GURU !
@aishahoura26193 жыл бұрын
The lectures he gives are priceless
@felicitasadkison333 жыл бұрын
Best lecture on planet earth
@lethansscroggins36553 жыл бұрын
Definitely will add this to my playlist for later! 🤙
@AhmadBazzi3 жыл бұрын
Awesome! Thank you!
@peterashton3913 жыл бұрын
Informative tutorial.
@AhmadBazzi3 жыл бұрын
Glad you think so!
@elisabethgraham8663 жыл бұрын
Funny. I understood most by a guy that does not look like people from Goldman Sachs
@johanaclutts9783 жыл бұрын
A true definition of a Guru
@dominiquedefrasne26953 жыл бұрын
Ahmad is the best !
@desmondblattner67913 жыл бұрын
Better than any youtuber out here ❤️
@lorindaheadley93353 жыл бұрын
Yes
@dalesalazar38313 жыл бұрын
AMAZING AHMAD !
@AhmadBazzi3 жыл бұрын
YOU ARE DALE. !
@williamchristmas65813 жыл бұрын
Superb.. thnk you Sir :)
@AhmadBazzi3 жыл бұрын
So nice of you
@janehessel40473 жыл бұрын
incredible! thank you
@alexaoberbrunner33073 жыл бұрын
Nice explanation, thanks for sharing
@AhmadBazzi3 жыл бұрын
Thanks for watching!
@francescanicolas77803 жыл бұрын
Love the part about making money from mathematical Convex Optimization.
@judygeorge57393 жыл бұрын
Very nicely explained. Great !!!!
@AhmadBazzi3 жыл бұрын
Glad you liked it!
@johnmatthews86393 жыл бұрын
Thanks for the video.
@AhmadBazzi3 жыл бұрын
You bet
@brookscruickshank63673 жыл бұрын
2:04 relative price changes are ratio of current period vs previous one ?
@georgekrug45943 жыл бұрын
Your content is freaking awesome
@AhmadBazzi3 жыл бұрын
I am happy that you find it awesome
@williammitchell46603 жыл бұрын
great teacher really helped, thanks
@AhmadBazzi3 жыл бұрын
Glad it helped!
@shawnglover51503 жыл бұрын
Great presentation skills.
@AhmadBazzi3 жыл бұрын
Thanks for watching
@karimlamine8774 Жыл бұрын
thank you so much for this clear explanation
@gurkanoyunda64193 жыл бұрын
You are a genius. Thank you sir.
@tylergardner47813 жыл бұрын
VERY GOOD explanation...
@AhmadBazzi3 жыл бұрын
Glad it was helpful!
@donnaratke36273 жыл бұрын
it was very helpful. Thanks a lot!
@AhmadBazzi3 жыл бұрын
Glad to hear that!
@leonardvigil68923 жыл бұрын
29:52 Sir, is the bounds necessary because it not part of the optimization problem.
@susanpichardo51773 жыл бұрын
This video is very clear!
@AhmadBazzi3 жыл бұрын
Glad you think so!
@freelancer89173 жыл бұрын
Интересно, спасибо за видео)
@christran94483 жыл бұрын
Great lecture from UCLA USA
@AhmadBazzi3 жыл бұрын
Thanks and welcome. Pleasure it is !
@kattiedeckow89663 жыл бұрын
29:21 Wow, never knew we could model the cost function as a python function
@michelleezell47553 жыл бұрын
A solver using 7 lines of python code at 37:22 got me going nuts ! How did you do that Ahmad !?
@teresamiller19183 жыл бұрын
awesome quality useful content
@leventpehlivanoglu51873 жыл бұрын
2:33 How is minimum accepted return an input to the problem ?
@leonchao76923 жыл бұрын
Great lecture, well done! I do have a question, for the Lagrangian function, with only a handful stocks, it suggests negative weights. Is there a way to set a constraint for long only approach? Appreciated much.
@beketyermek685310 ай бұрын
Hi! I have also faced the same problem. Were you able to fix it?
@michaelbeamon87573 жыл бұрын
Brilliant explanation
@AhmadBazzi3 жыл бұрын
Glad you think so!
@meraklkardesler80473 жыл бұрын
The Efficient Frontier takes a portfolio of investments and optimizes the expected return in regards to the risk. That is to find the optimal return for a risk.
@grettahicks41183 жыл бұрын
Gem of a lecture thank you
@AhmadBazzi3 жыл бұрын
Glad you think so, Gretta ! I'm very happy for you
@kenyafadel61423 жыл бұрын
great! please upload more videos about portfolio theory
@AhmadBazzi3 жыл бұрын
More to come!
@reyeshyatt83293 жыл бұрын
YEAH, QUARANTINE VIDSSSSSS 2021 !!
@charlesross58983 жыл бұрын
Wow! It should have been atleast 3 hours. Tuned me in like a netflix show.
@kaylahreichert29273 жыл бұрын
Excellent professor!!!!!!!
@Faruk.003 жыл бұрын
As investopedia points out, it assumes that asset returns follow a normal distribution, but in reality returns can be more the 3 standard deviations away. Also, the theory builds upon that investors are rational in their investment, which is by most considered a flawed assumption, as more factors play into the investments.
@janiyarenner53493 жыл бұрын
Thanks a-lot sir I really do appreciate your help with this video
@bellarose14423 жыл бұрын
Well done boss. 💪🏻
@delphakihn93143 жыл бұрын
love your videos! keep it up:)
@AhmadBazzi3 жыл бұрын
Thank you! Will do!
@leobates53953 жыл бұрын
Thanks a lot...it was really helpful :)
@erdem_demirbas3 жыл бұрын
The Markowitz Portfolio Theory is no other than a combination of assets, i.e. a portfolio, is referred to as "efficient" if it has the best possible expected level of return for its level of risk usually proxied by the standard deviation of the portfolio's return
@colemanjerde20403 жыл бұрын
Nice handwriting I see it has improved compared to your last tutorials.
@aishahoura26193 жыл бұрын
agreed
@alperenbuyuk48373 жыл бұрын
I always thought of Markowitz efficient frontier as a parabola where the optimal values lie along the upper half of the parabola line. Anyways, the Efficient Frontier gives you a way to balance your portfolio.
@edwardstorey55253 жыл бұрын
15:01 How its scalar a, b and c ?
@francescamistry20393 жыл бұрын
Very clear, thank you so much :-)
@emmaconway58423 жыл бұрын
Well done 👍🏻
@AhmadBazzi3 жыл бұрын
Thanks for the visit
@venuspapineau27193 жыл бұрын
2:54 How come 1^T w = 1 is the same as sum of all wi ?
@evefrancis8483 жыл бұрын
23:39 Can we use google API ?
@emremrn19073 жыл бұрын
The Markowitz solution can easily find highly leveraged portfolios (large long positions in a subset of investable assets financed by large short positions in another subset of assets)
@AhmadBazzi3 жыл бұрын
Nice way of putting it
@kawabiker26553 жыл бұрын
fantastic video !
@OyunAten3 жыл бұрын
Hi Ahmad. Just one question, if we get w = [0.2, 0.3, 0.4, 0.1], does that mean we have 20% in the first stock, 30% in the second, 40% in the third, and 10% in the final stock. It all sums up to 100% ? Thank you for awesome lecture.
@muhabbetkusutv79793 жыл бұрын
A portfolio that gives maximum return for a given risk, or minimum risk for given return is an efficient portfolio. Thus, portfolios are selected as follows:(a) From the portfolios that have the same return, the investor will prefer the portfolio with lower risk, and (b) From the portfolios that have the same risk level, an investor will prefer the portfolio with higher rate of return.
@doganirmak3203 жыл бұрын
Thanks Ahmad !
@AhmadBazzi3 жыл бұрын
Anytime Dogan !
@rebaziemann35263 жыл бұрын
Now I think I’d like to see a video on Gold’s role in “Deleveraging”
@louisemcleod4583 жыл бұрын
awesome tutorial....
@elizabethspencer98293 жыл бұрын
Pretty awesome world we live in: I can learn all this for free.
@mathieuadebowale97542 жыл бұрын
How do you work out the optimization problem using Langrange?
@brookegardner58363 жыл бұрын
Portfolios that cluster to the right of the efficient frontier are also sub-optimal, because they have a higher level of risk for the defined rate of return
@fatihbugraozcan75563 жыл бұрын
How to determine the optimal asset weights for a risky portfolio and how to allocate a portfolio between the optimal risky portfolio and the risk-free asset ?
@AhmadBazzi3 жыл бұрын
It is the w vector derived and implemented in the video.
@leoburns71973 жыл бұрын
I coded one myself, but for mutual funds. This would help if you extended this functionality for that cause.
@AhmadBazzi3 жыл бұрын
It could definitely be extended and applied to hedge fund analysis.
@OneSong03 жыл бұрын
Please help with this problem I have homework An investor wants to put together a portfolio consisting of up to 5 stocks. Using the Markowitz method, what is the best combination of stocks to minimize risk for a given return? In this model, we calculate stock returns, the variance of each stock, and the covariances between stocks, using the Excel functions AVERAGE, VARP and COVAR.