This Excel spreadsheet demonstrates the classic mean-variance approach for portfolio optimization, but includes the added complication of transaction costs.
This Excel spreadsheet finds the investment weights that maximize the Omega Ratio of a portfolio. Under realistic conditions, this requires non-convex global optimizers – Excel’s optimizers are not robust enough. So consider the simplified problem in this spreadsheet as a learning…
This Excel spreadsheet will calculate the optimum investment weights in a portfolio of three stocks by maximizing the Sharpe Ratio of the portfolio.
This Excel spreadsheet implements Markowitz’s mean-variance theory. It optimizes asset allocation by finding the stock distribution that minimizes the standard deviation of the portfolio while maintaining the desired return.