TY  - JOUR
AB  - The key objectives of this case are to: (1) familiarize students with a simple version of the Markowitz optimal-asset allocation model; (2) develop students' intuition regarding optimal-asset allocation as specific inputs into the model (e.g., expected returns, standard deviations, correlations) change values; and (3) develop students' intuition regarding constraints that alternative investors may face (e.g., the presence of shorting constraints) and their impact on the optimal portfolio. The case includes an Excel spreadsheet, which contains relevant data (e.g., returns, standard deviations, correlations) on several assets and an Excel model that takes three of those assets and makes use of the Excel Solver Add-In to compute optimal weights for the three asset portfolio as well as the expected return, standard deviation, and Sharpe ratio of the optimal portfolio. Students are asked to alter many of the inputs into the model and explain the effects of those changes on the optimal portfolio.
VL  - 
IS  - 
SN  - 2474-7890
DO  - 10.1108/case.darden.2016.000187
UR  - https://doi.org/10.1108/case.darden.2016.000187
AU  - Allayannis George (Yiorgos)
PY  - 2017
Y1  - 2017/01/01
TI  - Markov's Trilemma
T2  - Darden Business Publishing Cases
PB  - University of Virginia Darden School Foundation
SP  - 1
EP  - 4
Y2  - 2024/04/18
ER  -