I have a vague understanding of the portfolio optimization process, but have always had to input the EXPECTED RETURNS in each of the other solvers that I have worked with in the past. Does this optimization use EXPECTED RETURNS and if so, how are the expectations calculated?
Separately, would like to have a telephonic conversation with an expert who supports this software. I am interested in solving for a specific amount of risk as measured by semi variance, rather than a targeted return. Who do I contact to schedule a call?
To use expected returns as before simply enter the required data into the correlation matrix of the CoVar sheet.
To have the returns and correlation calculated for you, enter the historical data into the input sheet (which can then be optionally modified in the Covar sheet before optimization). The input data can be either price/value or percentage returns. The expected returns are calculated as the average return from the input data.
Currently the program has the option to use downside risk and the Sortino ratio only but not semi-deviation with a target threshold. We can look into adding this if commonly demanded.
