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Math Help - Optimizing Portfolio in Excel

  1. #1
    Junior Member
    Joined
    Dec 2010
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    Optimizing Portfolio in Excel

    I have a set of opening stock data for which i have calculated the returns and the mean returns. I need to now create a covariance matrix which i do not understand how to do?

    Can someone please help me on how i would generate the covariance matrix for the portfolio. I have attached my excel file containing the portfolio if any1 wants to see.
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  2. #2
    Junior Member
    Joined
    Dec 2010
    Posts
    61

    Re: Optimizing Portfolio in Excel

    Ok i have managed to create the covariance matrix on excel. Unfortunately my next problem is to use the EXPONENTIAL UTILITY u(w)=1-e^-.05w to estimate the portfolio giving maximum expected utility. My spend is 1000.

    How would i used the exponential utility to maximise the expected utility??
    Also i need to justify the method chosen? what method?

    Any help would be greatly appreciated. I have attached my new excel file.
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