Calculating a Minimum Variance Portfolio Dynamically

Click to Download Workbook: Minimum Variance Portfolio Calculator

A minimum variance portfolio is basically a term for the portfolio with the lowest possible expected risk from the for a given rate of return (also expected). On the frontier, it is represented by the red dot on the graph below.

A small disclaimer, this graph was outputted using R. Unfortunately, this workbook will not graphically generate the efficient frontier. It is simply an automated way to calculate the minimum variance portfolio given a series of assets and historical price data. Fill out everything that is highlighted in orange.

If you would like more detail on the specifics of the calculations and overall methodology behind the VBA code to this workbook, check out this post here:

https://programmingforfinance.com/2017/10/generating-a-minimum-variance-portfolio-and-the-efficient-frontier/

UPDATE: I added a few more inputs and features for the workbook. These include more solver parameters and different portfolio outputs. Check it out…

 

 

 

About the author

programmingforfinance

Hi, I'm Frank. I have a passion for coding and extend it primarily within the realm of Finance.

View all posts

Leave a Reply

Your email address will not be published. Required fields are marked *