Mean Variance Optimisation

[adam123]

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

[JohnJPS]

Hi @adam123,

I would try to attack this using the R tool.  A quick search shows some approaches ready to grab and make your own:

• http://www.wdiam.com/2012/06/10/mean-variance-portfolio-optimization-with-r-and-quadratic-programmin...
• http://programmingforfinance.com/2017/10/portfolio-optimization-with-r/
• https://moderndata.plot.ly/portfolio-optimization-using-r-and-plotly/
• https://cran.r-project.org/web/packages/PortfolioAnalytics/vignettes/portfolio_vignette.pdf

It'll take a little effort to duplicate, but hopefully one of those helps get you started.

- John

[SydneyF]

Hi @adam123,

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

Thank you!!