I need to make optimal risky portfolio, minimum variance portfolio and efficient frontier using Markowitz . But i don't know whether to used close price data or adjusted data. If i'm using adjusted data, did i have include some additional formula for the dividend?
closed as off-topic by noob2, JejeBelfort, LocalVolatility, Helin, chollida Dec 14 '17 at 16:15
This question appears to be off-topic. The users who voted to close gave this specific reason:
- "Basic financial questions are off-topic as they are assumed to be common knowledge for those studying or working in the field of quantitative finance." – noob2, JejeBelfort, LocalVolatility, Helin, chollida
It depends on how your portfolio needs to be tracked, if it's end-of-day or snapshot driven portfolio, you could take the close price data from any of the exchange traded. Else, adjusted data intraday prices.
For minimum variance portfolio, i suppose you take the vertex [x0 + a, y0] coordinates from hyperbola of set of possible mean-variance patterns from your set of possible underlyings. Dividends could be adjusted with the stock price, if underlying is call option, you may need to adjust with risk neutral pricing or what ever strategy you are using to derive the underlying prices.