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Portfolio Optimization
Price : $ 26.00
 
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Portfolio Optimization calculates optimal investment weightings for a basket of financial investments that gives the highest return for the least risk. Results display action required and probability analysis through Monte Carlo simulation


Portfolio Optimization is an Excel spreadsheet-based Monte Carlo software designed to test for the optimum selection of investments and weights in an investment portfolio.

portfolio optimization software

This portfolio optimization software features a variety of capabilities far beyond a simple spreadsheet or "what if" scenario based application.  The key features of the portfolio optimizer software include:

  • Flexible inputs and easy to use embedded help prompts build on Excel's native user-friendliness
  • Ability to specify the number of units held in each investment product, such as stocks, bonds, futures, cash, etc.
  • Specify minimum and maximum constraints to utilize when creating the optimum portfolio
  • Option to select a Current Return Level to ensure returns do not deteriorate in the simulation runs when seeking the best risk-based portfolio mix.
  • Control and make changes to the correlation matrix and portfolio constraings before running an optimization.
  • Graphical display is easy to understand and highly informative
  • Capability of running a probability analysis to achieve a specified target return level with the simulated portfolio
  • Can be run on Excel 1997 and above (including Excel 2010)
  • Instant online delivery when you purchase!

    How the Portfolio Optimization Software Works:

    Portfolio Optimization determines the optimal mix of financial assets based on the efficient market hypothesis.

    An overview dialog in the portfolio risk software allows you to specify all inputs for running the model.

    portfolio optimization

    Financial data can be entered or copied into the input sheet.

    portfolio optimizer data

    The portfolio optimizer includes an automatic "Download data from Internet" tool.  Just enter a ticker symbol and it will copy historical prices directly into the data worksheet.

    portfolio optimization software automatic data download

    A parameter is included in the portfolio software to ensure the simulated return of the portfolio is at least as high as the existing portfolio. Return period, min and max constraint weighting, and current units can be adjusted and used as a baseline for the simulation.

    portfolio optimizer software - ensure the simulated return of the portfolio is at least as high as the existing portfolio

    The software automatically calculates correlations between the securities or businesses tested. You have the option to modify the correlation matrix before running your simulation.  You can set correlations of absolute returns or percentage returns.

    portfolio software set correlations absolute or percentage

    The correlation matrix shows automatically calculated statistical correlations between different products or businesses.  You can modify the correlation matrix before running the simulation to test different diversification scenarios.

    portfolio risk software - view and modify correlation matrix as desired

    Execute the analysis and run the optimization using the various inputs you have specified.

    Analyze the results:  Current portfolio is on the left, optimized on the right.  Monte Carlo simulation histogram distributions of returns, mean, standard deviation, Sharpe Ratio, and probability of achieving the target with the portfolio are all displayed below.

    portfolio optimization - current portfolio vs optimized portfolio

    Theoretical % weighting, theoretical change in return according to the portfolio change, and the optimal weighting and units per investment are all shown in the Results screen.

    portfolio optimization software - view statistics return distributions, means, and Sharpe Ratios

    View the optimized portfolio simulation results versus the Efficient Frontier.

    portfolio optimizer software - view the simulation results versus the Efficient Frontier

    Help menus are available for all operations, functions, and methodologies used.

    portfolio software - help menus are available for all functions and operations
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