Portfolio of four assets: Optimization with Solver

#portfolioanalysis

Optimizing a portfolio of multiple assets in Excel using Solver

[nefelibatics]

I just want to highlight to anyone studying this video, that the author made a slight mistake at 07:50 when he clicked on cell B84, setting it as the minimizing goal! It was supposed to be G84 (Portfolio Variance) and that´s why gs (Goldman Sachs) stock was set to 0. This had the author puzzled for a while, but then later he reviewed it and corrected the mistake. Anyway thank you so much for this excellent tutorial!

[stephenhobbs]

Very easy to follow, good speech, speed, knowledge of material. Thank you for making the video.

[johncollan]

I was stuck on an assignment for my financial modeling class because I didn't know how to find the portfolio variance of a 10 stock portfolio. Thank you so much for sharing this method. I would've never thought to use MMULT and the variance-covariance matrix. I was beginning to think I'd have to go through the stocks' returns and get the covariance of each combination pair by pair and then write out the conventional variance formula with all 45 pairs of covariance as terms. Imagine the length of that formula!

[diverz]

Thank you Sir for your video. Finding the variance for a multi asset (more than 2) portfolio was my stumbling block and your explanation was very clear.

[trevortyne]

Excellent... Complexity made simple and explained well! Thank you for the video.

[aaronsarinana]

Excellent lecture! very easy to follow. Very useful, thanks!

[anibaldk]

Bit late to mention this but: the reason why you get different values is because the initial run of solver optimised B84 instead of G84 (8:37) and again at 13:51.
Last run was actually correct.

[hohoha]

This clip is very helpful for me to follow the author's instruction and make it for myself. Thanks a lot! Author

[AjentIvVii]

Thank you so much. It helped me to find MVA for multi-asset portfolio.

[connie]

thank you so much! it's really helpful!

[anastasiiaollonberg]

Very many thanks indeed for help, it was very useful and easy to understand!

[chadhladik]

Just an FYI, the GRG Nonlinear solver will calculate a better solution than your initial guess, but it is not guaranteed to give the best solution.

[cozypoly]

Sorry but I hate to say that the object of solver is actually cell B84 instead of cell G84 and that’s why the weight of gs is zero

[anastasiiaollonberg]

Is it possible to provide a video with instructions, how to insert capital market line into the Solver portfolio graph?

[Pumpkinnishu]

This tutorial is great. What is the thory behind this? Is it the Lagrange Multiplier Method?

[umarmahmood]

dont usually comment but when he starts to use solver he initially selects cell G84 to minimize but accidentally changes it to cell B84 while explaining...?

[austinryder]

So, portfolio return-- as calculated in this video-- is in monthly terms. Are standard deviation and variance also in monthly terms, since the underlying figures are, too? If so, how do we convert stdev and var into annual while considering compounding?

[Bart-otku]

That's not an optimal portfolio that's minimum variance portfolio, there is a difference between those two

[Globalpeaceseeker]

how do we forecast for commodities, property, cash etc using historical data such as GDP, inflation, price indices

[jonathanoliver]

Does this really find highest return, because this looks like portfolio of least variance, optimal should be tangent to the risk free rate no?