Portfolio Optimization for Asset Allocation and Rebalancing
  • Portfolio Optimization for Asset Allocation and Rebalancing
  • Portfolio Optimization for Asset Allocation and Rebalancing
  • Portfolio Optimization for Asset Allocation and Rebalancing
  • Portfolio Optimization for Asset Allocation and Rebalancing
  • Portfolio Optimization for Asset Allocation and Rebalancing
  • Portfolio Optimization for Asset Allocation and Rebalancing
  • Portfolio Optimization for Asset Allocation and Rebalancing
  • Portfolio Optimization for Asset Allocation and Rebalancing
Originally published: 20/06/2018 15:49
Publication number: ELQ-74300-1
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Portfolio Optimization for Asset Allocation and Rebalancing

The Excel portfolio optimization model combines asset allocation and technical analysis to maximize investment returns.

asset allocationinvestmentsoptmizationportfoliorebalancingtechnical analysis

Description
The Excel portfolio optimization model combines asset allocation optimization and technical analysis constant optimization to maximize returns on financial investment portfolios. Historical financial data can be based on business cash flows or financial security data downloaded automatically from the web.

The portfolio optimization module provides various options for risk quantification including overall risk under the Sharpe ratio, downside or semi deviation under the Sortino ratio or analysis of gains to losses under the Omega ratio. Results of the portfolio optimization are displayed with total return comparison charts and trading required for rebalancing to the optimal portfolio weightings.

The technical analysis module analyzes the value added total return from signal trading on five key technical indicators: simple moving average, rate of change, moving average convergence divergence, relative strength index and Bollinger bands.

The time period constant parameters for each of the technical indicators can be automatically optimized to establish the optimal trading strategy that provides the maximum total return for the portfolio. Periodic processing of the weighting and technical analysis optimization provides a concise and automated solution for portfolio management and optimal trading strategy.

This business tool includes
2 Excel files, online user guide

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Further information

The Excel portfolio optimization model combines asset allocation and technical analysis constant optimization to maximize returns on financial investment portfolios. Portfolio rebalancing incorporates advanced options including risk assessment under Sharpe, Sortino and Omega ratios. Optimal trading strategies are established through back testing of optimized technical indicator constant parameters.

Optimizing portfolios of investments or assets where time series data is available

Portfolios where periodic investment prices or returns are not available.

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