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Details for SkillShare | Investment Portfolio Optimization with Excel & R [FCO]
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Created by: Carlos Martinez
Language: English
Released: 2021/03/06
Duration: 2h 59m
Course Source:


Would you like to be able to optimize asset portfolios, using market data to maximize the expected return per unit of risk? That´s precisely what you will learn in this course “Investment Portfolio Optimization in Excel and R.” My name is Carlos Martínez, I have a Ph.D. in Management from the University of St. Gallen in Switzerland. I have presented my research at some of the most prestigious academic conferences and doctoral colloquiums at the University of Tel Aviv, Politecnico di Milano, University of Halmstad, and MIT. Furthermore, I have co-authored more than 25 teaching cases, some of them included in the case bases of Harvard and Michigan.

This is a very comprehensive course that includes presentations, tutorials, and assignments. The course has a practical approach based on the learning-by-doing method in which we will build an optimal portfolio from the real prices of 20 companies. In addition to the videos, you will have access to all the Excel files and R codes that we will develop in the videos and to the solutions of the eight assignments included in the course with which you will self-evaluate and gain confidence in your new skills.

After a brief introduction to the theoretical framework, we will illustrate all the concepts of the theory with a portfolio of two assets, with which we will elaborate the efficient frontier, and estimate the optimal portfolio and the capital market line. Then, we will extrapolate these learnings to a portfolio of 20 assets, and estimate the weights of a portfolio that maximizes the expected return per unit of risk. Once we know portfolio theory in-depth, we will have earned the right to use R´s fPortafolio package, with which we will be able to automate all the vector algebra procedures using R´s computational power.

The ideal students of this course are university students and professionals in numerical areas interested in pursuing a career as financial analysts or investing in risk assets. The course includes an introduction to vector algebra so the only requirement for the course is a basic knowledge of spreadsheets and R.

I hope you are ready to upgrade yourself and learn to optimize investment portfolios with excel and R. I´ll see you in class!

Hands-on Class Project

For the class project, you will have to optimize an 18-assets Portfolio. From the attached price matrix:

A. Compute the Return Matrix

B. Compute the Variance-Covariance Matrix

C. Compute the Expected Return and Standard Deviation of the Equal Weight Portfolio

D. Assuming an annual risk-free rate of 1.5%, compute Sharpe´s Ratio

E. Optimize the Portfolio: What´s the Expected Return and S.D. of your Optimal Portfolio?

F. Share the Weights of your Optimal Portfolio

Portfolio optimization:

Covered Topics

• Business
• Finance
• Spreadsheets
• Microsoft Excel

About Author

Carlos Martinez, PhD
MBA, PhD in Management

Carlos es un apasionado del método de casos de enseñanza, coautor de más de 25 de ellos en las áreas de finanzas, estrategia, operaciones y desarrollo sostenible. Algunos de estos han sido incluidos en las bases de casos de prestigiosas escuelas de negocio como Harvard, Michigan e IESE.

Es Ingeniero Industrial y Master en Finanzas de la Universidad Centroamericana, MBA con distinción de INCAE Business School y Ph.D. en Management de la Universidad de San Galo, Suiza. Ha orientado su investigación hacia el impacto de la información social, ambiental, y de gobierno corporativo (ESG) en los mercados financieros. También ha desarrollado estudios relacionados con el acceso al financiamiento emprendedor en contextos con vacíos institucionales.

Su investigación ha sido presentada en prestigiosas conferencias como el coloquio doctoral del Alliance for Research on Corporate Sustainability (MIT, EEUU), la conferencia especializada “From start-up to scale-up” del Academy of Management (University of Tel-Aviv, Israel), la tercera conferencia en Entrepreneurial Finance (Politecnico de Milano, Italia) y el Congreso Anual del European Accounting Association (Valencia, España).

Carlos es coautor de cinco artículos en revistas científicas arbitradas (peer-reviewed) y dos capítulos en libros de editoriales de prestigio (Edward Elgar y World Scientific Publishing). Su investigación ha sido citada por el International Integrated Reporting Council en documentos dirigidos a inversionistas institucionales. Adicionalmente, ha sido revisor ocasional de artículos científicos para varias revistas arbitradas.

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