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Portfolio selection: method of the step by step assigned weights

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Pavlík M., Michalski G., Lukáčik M.
Econometrics. Ekonometria. Advances in Applied Data Analytics
|
2015
|
issue 3 (49)
78-97
EN
The authors conceived a new simple method for creating the approximation of the border of investment opportunities. The method enumerates all the possibilities of assigning weights to the investment portfolio. It does not enable short sales. The software which the authors coded is written in VBA and also enables active management. The method is simple, accurate but demanding. The authors also created a simple methodology for testing the quality of the approximation of the border of investment opportunities.
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