Abstract

The calculus and matrix algebra associated with finding the optimal portfolio weights for a set of securities is tedious. However, Excel tools make the computations simple, with minimal programming needed to arrive at optimal portfolio weights for securities in a portfolio. We provide this Excel template and techniques for acquiring optimal weights, which is useful for personal and institutional investors alike.

Takeaways:

  • The calculus and matrix algebra associated with optimizing portfolio weights is tedious, but not necessary for finding optimal portfolio weights
  • Based on the results of the associated mathematics for optimizing portfolio weights, a very accessible Excel template can be produced to perform the optimization for an individual investor. Excel’s =MDETERM function makes the programming very easy.
  • Although demonstrated using three funds and a risk-free rate, the Excel template can be extended to allow for many more funds and/or securities.

Document Type

Article

Publication Date

10-8-2024

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QUICK-PORTFOLIO.xlsx (16 kB)

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