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Simplified Portfolio Optimization Using Cramer’S Rule In Excel, Tom Arnold, Joseph Farizo, Terry D. Nixon
Simplified Portfolio Optimization Using Cramer’S Rule In Excel, Tom Arnold, Joseph Farizo, Terry D. Nixon
Finance Faculty Publications
The matrix algebra associated with finding minimum variance portfolio weights, mapping the efficient frontier, and determining the tangency portfolio weights is greatly simplified in Excel by applying Cramer’s Rule. Only a scant knowledge of linear algebra is necessary for producing a very intuitive presentation for a multi-asset portfolio. The technique is very easily replicated for an assignment or for providing a classroom resource.
Monte Carlo And Bootstrapping Carry Trade Simulations In Excel, Tom Arnold, C. Mitchell Conover, Joseph Farizo
Monte Carlo And Bootstrapping Carry Trade Simulations In Excel, Tom Arnold, C. Mitchell Conover, Joseph Farizo
Finance Faculty Publications
In a currency carry trade, an investor borrows money in a low interest rate currency and invests in a high interest rate currency. The trade is profitable if the future exchange rate does not adjust to the interest rate differential. After downloading exchange rate data, a Monte Carlo simulation of a carry trade is performed in Excel based on a normal distribution and the data’s mean and standard deviation. A bootstrapping carry trade simulation exercise is also generated by randomly selecting observations from the historical data. In contrast to the Monte Carlo simulation, the bootstrapping exercise preserves the skewness within …