Portfolio Theory

The information on this page is primarily intended for students and others interested in applying modern portfolio theory. I have collected a series of links and movie clips to help you build Excel models.

Portfolio optimization

  • In order to calculate optimal mean-variance efficient portfolio, Excel can be very helpful to create simple and clean spreadsheets. To do so, you need to have some basic knowledge of Matrix Algebra. Check the instruction video to see what you can do with matrix algebra in Excel.
  • Instruction video on how to use the solver in Microsoft Excel to calculate optimal portfolios.

Dynamic Asset Allocation

  • Instruction video on how to do a Monte Carlo Simulation in Excel while using Excel’s powerful Table function. The video shows how to simulate a constant mix strategy and should offer you the basic idea to help you build more complicated models. You can download the spreadsheet used in the video by clicking MC Simulation Example.