Abstract
The matrix algebra associated with finding minimum variance portfolio weights, mapping the efficient frontier, and determining the tangency portfolio weights is greatly simplified in Excel by applying Cramer’s Rule. Only a scant knowledge of linear algebra is necessary for producing a very intuitive presentation for a multi-asset portfolio. The technique is very easily replicated for an assignment or for providing a classroom resource.
Document Type
Article
Publication Date
5-16-2022
Publisher Statement
Copyright © 2022 The Authors.
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Recommended Citation
Arnold, Tom, Joseph Farizo, and Terry D. Nixon. "Simplified Portfolio Optimization Using Cramer’s Rule in Excel," University of Richmond Robins School of Business, (2022): 1-20.