# Mean-Variance Optimization with Transaction Costs

This Excel spreadsheet demonstrates the classic mean-variance approach for portfolio optimization, but includes the added complication of transaction costs.

This Excel spreadsheet demonstrates the classic mean-variance approach for portfolio optimization, but includes the added complication of transaction costs.

The Omega Ratio can be modified so that it favors return distributions that are skewed to the right with a…

Sharpe Ratios are equal to the effective return divided by the standard deviation. Commonly, Sharpe Ratios on a daily, weekly…

This Excel spreadsheet finds the investment weights that maximize the Omega Ratio of a portfolio. Under realistic conditions, this requires…

Learn about implied volatility, how it effects trading strategies and download a spreadsheet.

A few months ago I wrote an article on the Black-Scholes formula and its effect on the direction of the…

Learn about the Calmar Ratio, and download an Excel spreadsheet to calculate this performance benchmark.

This tutorial introduces binomial option pricing, and offers an Excel spreadsheet to help you better understand the principles. Additionally, a…

This article gives a simple introduction to GARCH, its fundamental principles, and offers an Excel spreadsheet for GARCH(1,1).

A easy-to-understand introduction to Arithmetic Brownian Motion and stock pricing, with simple calculations in Excel.