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Creating Optimal Portfolio and the Efficient Frontier Using Microsoft Excel®

Journal of Quantitative Methods

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Field Value
 
Title Creating Optimal Portfolio and the Efficient Frontier Using Microsoft Excel®
 
Creator Roychoudhury, Saurav
 
Description Portfolio managers and investors strive to achieve the best possible trade-off between risk and return, and one of the tools they use is constructing mean-variance efficient portfolios. Finance students learn about optimal portfolios and efficient frontiers, though it is difficult to replicate them unless they have access to sophisticated software. This paper develops a teaching module that uses Microsoft Excel® to create mean-variance portfolios and traces out the efficient frontier using real-world data. In the process, the students learn to determine optimal investment allocations in a portfolio, select the optimum investment portfolio given investor’s objectives and preferences and learn about factors that influence different asset allocations. For multiple assets (N>3), the paper uses Matrix algebra in Excel®. The paper enables students and investors to learn how to construct real-world mean-variance efficient portfolios using Excel®.
 
Publisher Department of Quantitative Methods, School of Business and Economics, University of Management and Technology, Lahore Pakistan
 
Date 2019-03-13
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
 
Format application/pdf
 
Identifier https://ojs.umt.edu.pk/index.php/jqm/article/view/31
10.29145/2018/jqm/020207
 
Source Journal of Quantitative Methods; Vol 2 No 2 (2018): August; 104-136
2522-2260
2522-2252
10.29145/JQM/22
 
Language eng
 
Relation https://ojs.umt.edu.pk/index.php/jqm/article/view/31/27
 
Rights Copyright (c) 2019 Saurav Roychoudhury
http://creativecommons.org/licenses/by/4.0