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Portfolio Optimization
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A Portfolio of investments can be designed so that the risk and return are the best available.
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Two generally conflicting measures evaluate a portfolio, the expected return and the variance of the return.
The variance represents the risk of the portfolio.
The investor desires a portfolio that has a high return and low risk.
Since the goals of maximizing return and minimizing risk are usually conflicting, our Portfolio.xla Excel Add-In creates solutions that minimizes variance while satisfying a constraint on the return.
By solving the portfolio mix for a series of returns it is poossible to obtain an efficient frontier of solutions, depending on the investor's risk tolerance.
The solution relies on methods pioneered by Nobel prize winner Harry Markowitz.
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Software Links
Portfolio Optimization
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