Modern Portfolio Theory II: Random portfolio coverage in log volatility—return space with a risk free asset
Marton Trencseni - Fri 20 December 2024 • Tagged with markowitz, portfolio, capm, volatility
In a previous article I simulated random portfolios using Monte Carlo methods for the 2023 daily closing prices of the 100 stocks constituting the Nasdaq-100. Here I add the risk-free asset to the portfolio and examine how it affects the coverage in log volatility—return space.