Is there even a way to conduct an efficient frontier analysis using solely excel? Will appreciate if someone can point me towards some samples.
Yes, you need a bunch of asset returns, build a bordered covariance matrix, perform optimization using solver. I had to do it in school once.
Yeah, I do have the various asset returns and std. deviation. Can you expand on this “solver” that you mentioned?
It’s a function in excel. Basically you set up the bordered covariance matrix and then calculate the expected return, standard deviation, and sharp ratio for a portfolio with arbitrary weights. Then you use solver to perform the optimization process - (e.g. tell which assets in which weights produce that the highest return for a desired standard deviation, or lowest standard deviation for a desired return). Solver is basically a more complicated version of goal seek, you can select a whole range of cells to change, and enter constraints (e.g if you want no short sales for example). I can send you an example if you post an email address.
You know my email, can you send it to me. I am familiar with solver, but I did not know you can perform the aforementioned with it.
You set up all the formulas in excel, then tell the solver to minimize the portfolio stdev cell while targeting a return, or maximize the portfolio return cell while targeting risk, by changing the asset weight cells (subject to 0-100% constraints, unless you want shorting, as well as a sum 100% constraint)
IARdude Wrote: ------------------------------------------------------- > You set up all the formulas in excel, then tell > the solver to minimize the portfolio stdev cell > while targeting a return, or maximize the > portfolio return cell while targeting risk, by > changing the asset weight cells (subject to 0-100% > constraints, unless you want shorting, as well as > a sum 100% constraint) Exactly
Sent.
Appreciate it brah, very nice spreadsheet you created.
if you search the net there is a tutorial by a georgetown professor on exactly how to do it with matrix multiplication
dmnyc Wrote: ------------------------------------------------------- > Art - can u send to dmkovals@hotmail.com - would > appreciate it as well Sent
Sent and sent
… thanks Art, appreciate it !
The.Unit.Root Wrote: ------------------------------------------------------- > me three please.....spruceholl@aol.com > > Thanks! Sent
Once more Art? meisterling at hotmail. Thanks