Still not working !

Excel Help for Still Not Working ! in Excel Portfolio Optimization Template

Still Not Working !

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	Hi , I am running the portfolio optimization for my portfolio and I see that every time I run it with additonal week of prices , I get major changes in the exisitng weights of assets. i understand that this influenced by the optimization algorithm but is there a way I can restrict  the change in weights so that they do not change by more than say plus/minus 2%? I get theoretical weight changes from 1% to 6% , which is shooting up my trading costs. Best, Hansy
	Posted by hansy7 on 20 Jun 2008

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	Increase the number of iterations Rate this: (3/5 from 1 vote) You can minimize changes in the optimization results by increasing the number iterations in the CoVar sheet.  Processing time is longer but the difference in results will be less.
	Excel Business Forums Administrator
	Posted by Excel Helper on 20 Jun 2008

Still not working ! Rate this: (3/5 from 1 vote) This doesn't work either. I tried with as many as 100,000 iterations. Is there any other way to control this. I am getting values like 6000 trades which is enormous. I used the min/max limit too restrict the weight range but that doesn't work either. I was thinking more on the lines of having a condition wherein I could put contraints on the weight changes recommended. That way my portfolio might not be 100% optimum but it will still give me a better Sharpe ratio and trades that are manageable. Please help! Best, Hansy

Posted by hansy7 on 21 Jun 2008

	Send through your template Rate this: (3/5 from 1 vote) If you can send through your template in reply to this forum notification message, we can investigate this for you.
	Excel Business Forums Administrator
	Posted by Excel Helper on 21 Jun 2008

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