The
Portfolio Optimization template identifies the optimal capital weightings for a portfolio of financial investments that gives the highest return for the lowest risk based on the return risk profile and correlation between individual investments. The design of the
portfolio optimization model enables it to be applied to either financial instrument or business stream portfolios. The
portfolio optimization template is intuitive and flexible with help icons throughout to assist with input and interpretation of output results. Input of historical data for the analysis is supported by options to specify absolute prices or returns, number of current units held and a tool to download long time periods of financial market data for securities from the internet. Advanced optimization options include setting minimum and maximum constraints for weightings in the optimal portfolio and risk analysis options for overall volatility under the Sharpe ratio, downside risk or semi-deviation under the Sortino ratio and gain/loss under the Omega ratio. Optimization can be set to maintain at least the current level of return and specify a target return for which the probability of attaining is calculated via Monte Carlo simulation. The
portfolio optimization results are displayed with weighting charts and return distributions as well as acquisition and liquidation actions required. Technical analysis is provided with back tested total return from signal trading and automatic optimization of technical period constants for each investment or the total portfolio that results in the highest back tested return. Technical analysis indicators with detailed charting and back testing analysis include simple moving average (SMA), rate of change (ROC), moving average convergence/divergence (MACD), relative strength index (RSI) and Bollinger Bands. The template is compatible with Excel 97-2010 for Windows and Excel 2011 or 2004 for Mac as a cross platform
portfolio optimization solution.
Type :
Shareware ($26.00) »
EULAOS Support : Windows All + Vista
Date stamp / Size : Nov, 24. 2006 / 385 kBytes
Asked : Requires Microsoft Excel 97 or higher
Update history of Portfolio Optimizationv3.0 (May, 24. 2012)
The Omega ratio has been integrated. Technical analysis has been added with ability to optimize constant parameters to maximize back tested return on buy and sell signals. Includes detailed analysis and charting of simple moving average, rate of change, moving average convergence/divergence, relative strength and Bollinger bands. Provides the ability to apply a capital amount equally to starting portfolio weightings. Optimization can be undertaken on both long and short portfolios. Code has been designed to increase processing speed.
v2.0 (February, 15. 2011)
Compatible with Excel 2010 for Windows and Excel 2011 for Macintosh
v1.0 (January, 19. 2010)
Compatible with Excel 2010 and supports up to 100 assets
Distribution permissions for Portfolio Optimization
You are able to make multiple copies of this model on the same computer. It is recommended to make a copy of the model before use so that an original `clean` copy is accessible without the need to download a new one. Site licenses are available on purchase so that the model can be registered for an unlimited number of users within the same organization.
