Tags: asset, combination, excel, microsoft, minimizes, minimum, msdn, overal, portfolio, returns, software, stocks, variance, weights
Finding minimum variance with excel
I want to use Excel to find the combination of weights in
an asset portfolio which minimizes the overal variance of
returns. Each asset (stocks in this case) have a mean
return, and a variance (square of stdev) of past returns.
I want to be able to take a list of returns and variances,
plug in a target return, (or maximum return for that
matter) at the lowest possible variance or standard
deviation. I thought there used to be a function which
would return a minimum variance (Minvar?)of a list of
variances, but I cannot find it. (I can't remember is
probably closer to the truth). Any ideas?
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- 1 Comments
- Scott Dobbs -
> I want to use Excel to find the combination of weights in an asset
portfolio which minimizes the overal variance of returns. ... <
If Solver is installed, then solvsamp.xls should be on your hard drive.
Search for it. There's a worksheet named "Portfolio of Securities" in the
solvsamp.xls workbook that illustrates the simplest kind of portfolio
- Mike Middleton, www.usfca.edu/~middleton#1; Thu, 22 May 2008 23:58:00 GMT