Portfolio Variance Model
Originally published: 02/05/2017 14:04
Last version published: 04/05/2017 14:31
Publication number: ELQ-45240-3
View all versions & Certificate

Portfolio Variance Model

A simple model to learn and play with portfolio variance in Excel

It can be simple to calculate portfolio variance when you have two assets. However, when you're given 10, 15 or even hundreds of assets - it is a different story.

The sample spreadsheet below has 6 assets, with given respective standard deviation and correlation.

With the given values, we can calculate the portfolio volatility with any set of weights, additionally to calculating the sharpe ratio.

With the spreadsheet, we can see how values change according to different risk variables and returns, as well as also being able to calculate an efficient portfolio (this is for you to try out!)

- Risk Prep & Mukul Pareek, 2009

This Best Practice includes
1 Excel File

Risk Prep offers you this Best Practice for free!

download for free

Add to bookmarks


4.5 / 5 (8 votes)

please wait...