The PORTFOLIO_BASIC.xls Model

The Markowitz Portfolio Problem

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Given the expected return for each candidate investment, and the covariance matrix for the actual returns, and a target desired return, and a budget amount to be invested, typically $1, Decide how much to invest in each candidate so as to Minimize the variance in the value of the portfolio one year from now, subject to achieving the target return in expectation, and not investing more than the budget.

Keywords:

Portfolio | Markowitz |