WOLFRAM|DEMONSTRATIONS PROJECT

Modern Portfolio Theory

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investor options
risk-free rate
0.02
minimum mean return
0.2
Is shorting allowed?
long
short
assets
AAPL
BA
DIS
GE
KO
MSFT
risk free
start date
January
1
2019
end date
December
31
2019
Consider a portfolio consisting of a risk-free asset, such as a three-month US Treasury note, and the common stocks Apple (AAPL), Boeing (BA), Disney (DIS), General Electric (GE), Coca-Cola (KO) and Microsoft (MSFT). The plot locates each asset according to its volatility and mean return based on real stock market data from a specified year. The relative size of each bubble indicates the relative amount of money that should be invested in each asset according to modern portfolio theory (MPT). Purchased assets are indicated in green and those that are short-sold are orange. The red curve indicates the efficient frontier and the red dot indicates the portfolio with minimal volatility that achieves the specified minimum mean return.