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3 posts tagged with math by stuehler.
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Allocating my assets between mutual funds in my IRA account

I have four mutual funds in my IRA account - a Total Market index fund, a Small-cap index fund, an International stock index fund, and a Bond index fund, and I'm trying to figure out how to allocate my assets between them. I've read a little bit about "Modern Portfolio Theory" and the "Efficient Frontier", but I'm struggling to understand some of the math. So, is there a simple way I can test whether a particular allocation is on the efficient frontier? Or, see all the possible allocations on the efficient frontier and choose between them? How do I figure this out? Ideally, I'd love to see a simple enough formula that, given the mean and standard deviation (and maybe correlation matrix), of my four funds, would tell me what allocation is on the efficient frontier. Or, some type of online tool, or an Excel spreadsheet or something. [more inside]
posted by stuehler on Feb 17, 2009 - 10 answers

Calculating standard deviation on compounded investment returns

Is it possible to estimate the standard deviation of an investment's return after "y" years, if you know the investment's mean annual return and standard deviation? [more inside]
posted by stuehler on Mar 25, 2008 - 14 answers

Question re: statistics and financial modelling

Question about semi-sophisticated statistics and financial modeling - lets say you have N asset classes - each class has a mean rate of return and a standard deviation of returns. Also, assume you hold a portfolio comprised entirely of these N asset-classes, in certain proportions. How do you determine the probability that the portfolio might produce the a certain rate of return over P periods?
posted by stuehler on Mar 2, 2006 - 9 answers

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