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Alteryx designer Discussions

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Mean Variance Optimisation

Atom

Hi

 

I wonder if somebody can assist me with the following. I am trying to build a Mean Variance Optimisation process in Alteryx, i have attached the excel version which utilises Solver that i use currently. If you access solver you will see what the spreadsheet is doing:

  • Objective: Maximising portfolio return (Cell C40)
  • Variable cells: asset class weights (Cells C36:J36)
  • Constraints: 1. each asset class weight has a maximum and a minum value 2. all weights must sum to 100% 3. portfolio standard deviation must be less than or equal to 5%

Dose anyone have a workflow they can shhare with me?  

 

Thanks

Adam

 

 

ACE Emeritus
ACE Emeritus
Data Scientist
Data Scientist

Hi @adam123,

 

Please see this example with your data, based on another community example, found here.

 

Thank you!!

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