The PORTFOLIO_CORREL.xls Model

The Markowitz Portfolio Problem

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Given the expected return for each candidate investment, and the standard deviation in return for each candidate, and the correlation matrix for the actual returns, and a target desired return, and an 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.

Keywords:

Portfolio | Markowitz | Correlation Matrix |