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Mean-Variance Portfolio Optimization
This lecture covers the Mean-Variance Utility function, indifference curves, optimal mean-variance portfolio choice, diversification benefits, efficient frontier with two assets, and the impact of correlation on the minimum-variance frontier. It also discusses the efficient frontier with one risky and one risk-free asset, the mathematical characterization of the general case with N risky assets, and the mean-variance efficient portfolio. The presentation includes examples with US and JP stock indexes, highlighting the importance of risk aversion and diversification in portfolio optimization.