PortfolioOptimization[1]

# PortfolioOptimization[1] - Financial Modeling Templates...

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Financial Modeling Templates Portfolio Optimization http://spreadsheetml.com/finance/portfoliooptimization.shtml Copyright (c) 2009, ConnectCode All Rights Reserved. ConnectCode accepts no responsibility for any adverse affect that may result from undertaking our training. Microsoft and Microsoft Excel are registered trademarks of Microsoft Corporation. All other product names are trademarks, registered trademarks, or service marks of their respective owners

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Pg ii Portfolio Optimization Version 1.0 Table of Contents 1. Portfolio Optimization . .......................................................................................................... 1-1 1.1 Background . ............................................................................................................... 1-1 1.2 Risk Reward Trade Off Line . ...................................................................................... 1-1 1.3 Risk Reward Trade Off Line Spreadsheet . ................................................................ 1-1 1.3.1 Inputs . ........................................................................................................... 1-2 1.3.2 Outputs . ......................................................................................................... 1-2 1.3.3 Risk Reward Trade Off Line . ......................................................................... 1-2 1.4 Correlations of Assets . ............................................................................................... 1-2 1.5 Portfolio Optimization (2 Assets) . ............................................................................... 1-3 1.5.1 Efficient Portfolio . .......................................................................................... 1-3 1.5.2 Efficient Frontier . ........................................................................................... 1-3 1.5.3 Tangency Portfolio . ....................................................................................... 1-4 1.5.4 Inputs . ........................................................................................................... 1-4 1.5.5 Outputs . ......................................................................................................... 1-4 1.5.6 Usage of Optimal Portfolio . ........................................................................... 1-4 1.5.7 Optimal Combination of Risky Assets Curve . ............................................... 1-5 1.5.8 Efficient Trade Off Line . ................................................................................ 1-6 1.6 Portfolio Optimization (7 Assets) . ............................................................................... 1-6 1.6.1 Setup Microsoft Excel Solver . ....................................................................... 1-6 1.6.2 Using Microsoft Excel Solver in this spreadsheet model . ............................. 1-6 1.6.3 Inputs . ........................................................................................................... 1-7
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PortfolioOptimization[1] - Financial Modeling Templates...

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