Portfolio Optimization 4.2
The Portfolio Optimization template identifies the optimal capital weightings for a portfolio of financial investments that gives the desired risk and return profile based on the correlation between individual investments. The design of the portfolio optimization model enables it to be applied to either financial instrument or business stream portfolios with long and short positions. The portfolio optimization template is intuitive and flexible with help icons throughout to assist with input and interpretation of output results. Input of historical data for the analysis is supported by options to specify absolute prices or returns, number of current units held and a tool to download long time periods of financial market data for securities from the internet. Advanced optimization options include setting minimum and maximum constraints for weightings in the optimal portfolio and risk analysis options for overall volatility under the Sharpe ratio, downside risk or semi-deviation under the Sortino ratio and gain/loss under the Omega ratio. Optimization can be set to maintain at least the current level of return and specify a target return for which the probability of attaining is calculated via Monte Carlo simulation. The portfolio optimization results are displayed with weighting charts and return distributions as well as acquisition and liquidation actions required. Technical analysis is provided with back tested total return from signal trading and automatic optimization of technical period constants for each investment or the total portfolio that results in the highest back tested return. Technical analysis indicators with detailed charting and back testing analysis include simple moving average (SMA), rate of change (ROC), moving average convergence/divergence (MACD), relative strength index (RSI) and Bollinger Bands. The template is compatible with Excel 97-2013 for Windows and Excel 2011 or 2004 for Mac as a cross platform portfolio optimization solution.
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History updates (Complete changelogs since the listing on this site)
Other versions : 4.0 3.2 3.1 3.0 2.0 1.0
Advanced convergence optimization algorithm. Choose any portfolio along the efficient frontier accoriding to risk and return strategy preferences. Include benchmark investment for comparative analysis. Perform rolling back tested periodic optimizations. Supports mixed long/short portfolio optimization.
Compatible with Excel 2013
Performance and cross platform compatibility enhancements.
The Omega ratio has been integrated. Technical analysis has been added with ability to optimize constant parameters to maximize back tested return on buy and sell signals. Includes detailed analysis and charting of simple moving average, rate of change, moving average convergence/divergence, relative strength and Bollinger bands. Provides the ability to apply a capital amount equally to starting portfolio weightings. Optimization can be undertaken on both long and short portfolios. Code has been designed to increase processing speed.
Compatible with Excel 2010 for Windows and Excel 2011 for Macintosh
Predicted future versions and notices:
The doDownload.com constantly monitors the update of all programs, including information from the Portfolio Optimization 4.2 changelog file, however sometimes it can happen that data are not complete or are outdated.We assume that author continue's to develop 4.3 version with further advanced features, and soon you will be informed. Equally important 5.0 upgrades of the program we will continue to monitor. Full Portfolio Optimization description has been compared with the overall software database and our algorithm has found the following applications (are showed below).
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