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.

Please note that downloads of the article are for private/personal use only.

Click below to download supplemental content.

Copy of CRAMER-RULE-PAPER.xlsx (19 kB)

Share

COinS