The current version limits the number of investments to 100 so that it is compatible with versions of Excel (97-2003) that have a column limit of 256 (an additional 100 columns are used for calculations).
One workaround is to group the investments (such as by asset type or industry) and run optimization for investment groups (a worthwhile exercise in itself) and the individual investments for each group in order to obtain the overall optimal portfolio weightings by investment and group.
