Theoretically the optimal portfolio should consist of only the investment which has both the lowest standard deviavtion and highest return of all other investments. Since the program runs random iterations of weightings, it could be that such an iteration was not examined. In this case, you can increase the number if iterations in cell E4 of the CoVar sheet prior to running the optimization.
For unit changes: 1 to 0.3 means liquidate 70% of the investment, 1 to 3 means triple the capital in that investment.
