MVO
Mean-variance optimization, a quadratic programming optimizer.
Description
Maximize expected returns and minimize expected risk. Solve for a mean-variance optimal portfolio. The function allows you to specify both linear and non-linear constraints and is able to account for friction penalties (transaction costs).
Syntax
The following describes the function signature for use in Microsoft Excel's formula bar.
Input(s)
Output(s)
The output matrix follows the vector orientation of mu (column / row). If you have specified your inputs as column-vectors, the corresponding output matrix will be transpose of the above.
Example
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