Mean-Variance Portfolio Theory

This lecture covers the concepts of mean-variance efficient frontier, utility theory, and factor models in investment management. It explains the estimation of means, variances, and covariances, as well as the construction of optimal portfolios. The instructor discusses the Capital Asset Pricing Model (CAPM), two-fund separation theorem, and the Arbitrage Pricing Theory (APT). The lecture also delves into factor models, anomalies in fund performance, and the efficiency of markets. Various risk factors, such as size, value, and momentum, are analyzed, along with the implications of volatility on expected returns.