Portfolio analysis


In this section you can find different programmes on portfolio analysis.

Please also check our mobile apps "Financial analysis with examples" and "All financial formulas" (links on the right) which may be useful for your learning process or your work

Financial analysis

CFA formulas

Markowitz portfolio

This is a model of Markowitz efficient portfolio constuction with Huang Litzenberger approach in excel.

The idea of the model is simple: you can find the portfolio with the lowest risk at a given expected return.

Usually you can solve portfolio optimization task using Solver in excel. But in this case you only enter parameters and get the answer. Huang Litzenberger approach allows you to see the calculation. Furthermore you can create a live model in which you'll be able to change expected return and get efficient portfolio with a minimum risk for that level of return.

We also construct the efficient frontier in this model

If you want more details on efficient frontier and related definitions of risk and return you can look here

Here is a link to Huang Litzenberger approach description

Markowitz portfolio model

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Markowitz portfolio in excel solver

In this example you'll see how easy it is to calculate Markowitz portfolio with excel solver.

You can find a maximum portfolio return for an efficient portfolio at a given level of risk or on the opposite - risk with a given level of return. You can also allow or prohibit opening of short positions by adding special constraints in the solver.

This example is available only in excel format because otherwise the calculations will not be very understandable.

Solver for Markowitz portfolio


Portfolio analysis

In the models below you can find the tools for stocks portfolio analysis

You can find a step-by-step explanation of how to find portfolio's risk, return, Beta coeffitient, intra-ortfolio correlation and more

Portfolio analysis (Risk, Return, Sharpe, Beta)

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Intra-portfolio correlation

Intra-portfolio correlation allows us to understand how good our portfolio is diversified.

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World markets correlation database

This is a database with calculated corralation coefficients between 39 world indeces and 4 commodities.

The coefficients are calculated on a weekly basis for 2008, 2009, 2010, for 3 years from 2008 to 2010 and for 5 years from 2006 to 2010.

The database is available only in excel and pdf formats

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