tom idzorek’s portfolio optimizer - duke univ.DOCVIP

Portfolio Optimizer An Excel-Based Visual Basic Application Beta Version Written and Designed by Tom Idzorek The Portfolio Optimizer is an Excel-based Visual Basic Application that demonstrates the usefulness of Visual Basic programming to the practice of financial analysis. The Optimizer uses web connectivity to download real-time data inputs, optimizes a securities list, and generates advanced statistics related to individual securities and portfolios. The Optimizer automates mechanical processes that would typically take a financial analyst using Excel many hours to complete. COPYRIGHT 2002Table of Contents Overview 2 Features General Features 2 Portfolio Statistics 2 Individual Security Statistics 3 Planned Features 3 Disclaimer 3 Main Menu 4 Optimization Settings 5 Modifying Vectors 6 Portfolio Statistics 7 Stock Statistics 8 Bordered Portfolio Matrix 9 Efficient Frontier 10 Correlation and Covariance Matrices 11-12 Individual Asset Sheets 13 Active Portfolio Management Statistics 14 Appendix A - Running the Optimizer / Troubleshooting 15-17 End Notes 18-19 Portfolio Optimizer Overview The Portfolio Optimizer is an advanced portfolio management tool. In addition to applying the Markowitz paradigm, in which return is maximized for a given level of risk, the Portfolio Optimizer allows the user to select from a number of quantitative asset allocation optimization modes. The Optimizer is a work in progress that incorporates the latest advances in Modern Portfolio Theory, especially optimum portfolio construction / asset allocation models in a user-friendly environment. The Optimizer is a Microsoft Excel-based Visual Basic spreadsheet application; therefore, the numbers are transparent and can easily be manipulated, copied, or linked to other Excel workbooks. The Portfolio Optimizer optimizes entire portfolios or components of portfolios, and enables efficient active portfolio management resulting from fund