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Excel Help for Questions in Excel Portfolio Optimization Template

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	How do I set the min and max constraints to hold current holdings at their current levels? If the 30 yr treasury rate is around 5% do I divide this by 12?   Thanks
	Posted by coreyfgarber on 12 Feb 2007

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	Portfolio optimization inputs Rate this: (4/5 from 2 votes) To hold weightinga at current level you should probably omit them from the analysis then add them back into the optmized weightings of the remaining products in the portfolio.  Alternatively, you can use the miminum constraint to ensure that they do not fall below the current level. If the frequency is monthly you should try and use the 30 day treasury rate for the risk free rate.  For annual rates, you should divide by 12.
	Excel Business Forums Administrator
	Posted by Excel Helper on 12 Feb 2007

	Question Rate this: (3/5 from 1 vote) Hi The answer you posted is little bit confusion. It would be thankful, if you post with small example
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	Posted by harleybrakes on 14 Nov 2009

the above answer is wrong! Rate this: (3/5 from 1 vote) the above answer is wrong! you can't omit constituents from the portfolio, optimize, and then add them back subsequently. you need to optimize the entire portfolio! i have the same question as the original poster. does anyone have a valid answer? i've tried putting the min and max weightings at the current portfolio weight and running an optimization. instead of holding the weights steady, the spreadsheet still pumps out different weights. does anyone have a valid answer?

Posted by anonymous user on 11 Mar 2010

	Portfolio Weightings Rate this: (2/5 from 2 votes) The optimization process will adjust the portfolio asset weights as this is what it is supposed to do in order to determine a better return/risk profile. The current portfolio weights are automatically calculated by multiplying the number of units by the final price for each product (or simply taking the number of units for return data). The minimum and maximum constraints tell the optimization process to retain asset weights for the optimized portfolio within the constraints specified despite a better return/risk profile that may exist outside these constraints.
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	Posted by Excel Helper on 11 Mar 2010

	I don't get it? Rate this: (3/5 from 1 vote) I have a stock in my portfolio that has a current weight of 10%. I would like for that weight to remain constant so that after optimizing, the weight is still 10%. I set the min and max constraints to 10%, but after the optimization, the weight still changes and is no longer 10%. I don't get why this happens?
	Posted by anonymous user on 13 Mar 2010

	Not include static asset weighting in optimization Rate this: (4/5 from 2 votes) If an asset weighting should be kept static, it is appropriate to not include it in the optimization process. Assets that can be liquidated or have funds injected into can be separated from the original portfolio, optimized and then added back to the portfolio to calculate the overall portfolio weighting after optimization.
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	Posted by Excel Helper on 13 Mar 2010

I don't think that's right Rate this: (3/5 from 1 vote) I have an asset that has a partcular return profile and I want to keep that asset weight static at 10%. I want to optimize the portfolio by adjusting the weights of the other stocks. If I remove the static weight stock, then its returns do not get calculated into the covar/correl matrix so to remove it would not be correct. Why do the min/max constraints not work correctly?

Posted by anonymous user on 13 Mar 2010

	Min and Max constraints Rate this: (3/5 from 1 vote) Indeed the risk/return for the entire portfolio would have to be recalculated after adding back the newly weighted assets. The minimum and maximum constraints work by ignoring portfolio iterations that fall outside of the prescribed constraints.  We have just tested this with one product at both Min and Max of 10% which held for the optimal portfolio.   If there are too many constraints (i.e. on other assets), it may be impossible to find weightings with a better return/risk profile.  Could this be the case?
	Excel Business Forums Administrator
	Posted by Excel Helper on 13 Mar 2010

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