Finding minimum variance with excel

  • Thread starter Thread starter Scott Dobbs
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Scott Dobbs

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?

regards
 
Scott Dobbs -
I want to use Excel to find the combination of weights in an asset
Click to expand...
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
optimization.

- Mike Middleton, www.usfca.edu/~middleton
 
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