Home Uncategorized Developing A VBA Model For Portfolio Optimization - Linear Programming Task
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Developing A VBA Model For Portfolio Optimization – Linear Programming Task

Time Frame 1-Year   Compnies   Expected Return Volatility Weight   Porfolio Mean 0.00%                
Start Date 06-11-2017   Barclays   71.26% 25.63% 0.00%   Portfolio Volatility #VALUE!                
End Date 12-05-2017   BP   16.70% 18.93% 0.00%   Sum of Weights 0.00%                
Risk Free 0.59%   BTC   29.05% 14.10% 0.00%   Sharpe #VALUE!                
Target Stdev (Optimal Portfolio 1) 7.07%   LTC   21.55% 15.80% 0.00%   Minimum % In Stock 3.00%                
Target Stdev (Optimal Portfolio 2) 27.43%   RBS   31.91% 14.65% 0.00%   Maximum % In Stock 25.00%                
      Sanisburys   28.11% 14.53% 0.00%     100%                
Additional  Parameters   Saniburys   36.28% 14.72% 0.00%     0.086522                
Allow Short Positions Yes   Unilever   30.55% 16.41% 0.00%                      
Include Min Boundary no                                  
Include Max Boundary no                                  
Weight in Optimal Portfolio X 0.4                                  
                                     
Add Tangency Port. no                                  
Add  Risk/Return of Assets                                  
Add Equal Weights Port.                                  
                                     
Date Barclays BP BTC LTC RBS Sainsburys Sainsburys Unilever                    
2017-11-06 182 521.1 5321.28 41.69 277.4 234.3 176.55 4256                    
2017-11-07 181.35001 524.7 5456.85 46.5 276.4 231 176 4220.5                    
2017-11-08 179.45 524.1 5718.95 47.84 275.8 233.5 176.85 4279.5                    
2017-11-09 179.45 514.6 5448.82 49 273.7 229.2 176.8 4262                    
2017-11-10 179.14999 506.9 5018.28 44.93 275.3 232.2 176.6 4224                    
2017-11-13 178.89999 506.9 5009.39 46.97 274.7 227.3 177 4256.5                    
2017-11-14 180.7 503 5096.89 48.15 274.9 228.8 188.05 4243                    
2017-11-15 182.39999 495 5550.19 48.28 274.9 227.1 183.65 4210.5                    
2017-11-16 185.45 491.15 5989.97 54.17 274 229.1 184.35 4222                    
2017-11-17 185 493.1 5853.65 51.04 274.4 227.6 184.7 4150                    
2017-11-20 188.75 492 6268.5 55.07 273.6 224.8 187 4199.5                    
2017-11-21 189.2 494.3 6168.79 53.26 273.2 226.7 189 4227.5                    
2017-11-22 189.2 497.85 6263.03 54.62 269.5 230.4 194.4 4188.5                    
2017-11-23 188.75 500.9 6136.09 55.62 269.6 228.8 194.05 4232.5                    
2017-11-24 189.35001 501.3 6276.23 59.4 270.8 227.4 192.6 4261                    
2017-11-27 187.5 496.2 7340.95 68.45 267.6 226.8 192.85 4236.5                    
2017-11-28 187.35001 501.4 7454.94 70.95 271.2 229.5 195.2 4329.5                    
2017-11-29 194.25 494.5 7356.6 63.23 281.6 235.6 198 4216                    
2017-11-30 193.5 489.1 7417.92 64.32 276.6 232.3 194.05 4164                    
2017-12-01 189.39999 492 8112.87 73.23 270.1 233 195.5 4115                    
2017-12-04 194.25 493 8672.92 77.38 274.2 232.9 195.15 4143.5                    
2017-12-05 191.85001 493 8784.59 75.9 272.9 241.91 203.65 4179                    
Total 4097.2 11026.1 140717.7 1250 6022.4 5070.21 4132 92816.5                    
                                     
  Date Barclays BP BTC LTC RBS Sainsburys Sainsburys Unilever 0 0 0 0 0        
Average Return -2.705E-06 -0.01251 -0.01226 -0.01315 -0.01366 -0.01236 -0.01235 -0.01266 -0.012378693 0 0 0 0 0        
Annual Return -0.0006814 -0.95806 -0.95531 -0.96444 -0.96874 -0.95647 -0.95632 -0.95969 -0.956669514 0 0 0 0 0        
STDEV 1.039E-05 0.19403 0.196962 0.176438 0.178586 0.19612 0.192855 0.190806 0.196523328 0 0 0 0 0        
Annual STDEV 0.0001649 3.080126 3.126672 2.800859 2.834964 3.11331 3.061472 3.028949 3.119711114 0 0 0 0 0        
  Date Barclays BP BTC LTC RBS Sainsburys Sainsburys Unilever 0 0 0 0 0        
  -2.323E-05 0.003578 -0.00688 -0.02516 -0.10919 0.003611 0.014185 0.00312 0.008376148 0 0 0 0 0        
  -2.323E-05 0.010532 0.001144 -0.04691 -0.02841 0.002173 -0.01076 -0.00482 -0.013882576 0 0 0 0 0        
  -2.323E-05 0 0.018293 0.048386 -0.02396 0.007643 0.018587 0.000283 0.004097647 0 0 0 0 0        
  -2.323E-05 0.001673 0.015076 0.082312 0.086715 -0.00583 -0.013 0.001132 0.008955987 0 0 0 0 0        
  -6.969E-05 0.001396 0 0.001773 -0.0444 0.002182 0.021328 -0.00226 -0.00766468 0 0 0 0 0        
  -2.323E-05 -0.01001 0.007724 -0.01732 -0.02481 -0.00073 -0.00658 -0.06056 0.00317666 0 0 0 0 0        
  -2.323E-05 -0.00936 0.016032 -0.0852 -0.0027 0 0.007458 0.023676 0.007689161 0 0 0 0 0        
  -2.323E-05 -0.01658 0.007808 -0.07625 -0.11511 0.003279 -0.00877 -0.0038 -0.002727544 0 0 0 0 0        
  -2.323E-05 0.002429 -0.00396 0.023021 0.059518 -0.00146 0.006569 -0.0019 0.017200615 0 0 0 0 0        
  -6.967E-05 -0.02007 0.002233 -0.06847 -0.076 0.00292 0.012379 -0.01238 -0.011857136 0 0 0 0 0        
  -2.322E-05 -0.00238 -0.00466 0.016034 0.03342 0.001463 -0.00842 -0.01064 -0.006645331 0 0 0 0 0        
  -2.322E-05 0 -0.00716 -0.01516 -0.02521 0.013636 -0.01619 -0.02817 0.009268127 0 0 0 0 0        
  -2.322E-05 0.002381 -0.00611 0.020476 -0.01814 -0.00037 0.006969 0.001802 -0.01045016 0 0 0 0 0        
  -2.322E-05 -0.00317 -0.0008 -0.02258 -0.06575 -0.00444 0.006138 0.0075 -0.006711039 0 0 0 0 0        
  -6.966E-05 0.009818 0.010226 -0.1567 -0.14181 0.011887 0.002642 -0.0013 0.005766418 0 0 0 0 0        
  -2.322E-05 0.0008 -0.01043 -0.01541 -0.03587 -0.01336 -0.01183 -0.01211 -0.021714605 0 0 0 0 0        
  -2.322E-05 -0.03617 0.013857 0.013279 0.115196 -0.03763 -0.02623 -0.01424 0.026565251 0 0 0 0 0        
  -2.322E-05 0.003868 0.01098 -0.0083 -0.01709 0.017915 0.014106 0.020151 0.01241066 0 0 0 0 0        
  -2.322E-05 0.021416 -0.00591 -0.08955 -0.12973 0.02378 -0.00301 -0.00744 0.011837317 0 0 0 0 0        
  -6.965E-05 -0.02528 -0.00203 -0.06675 -0.05512 -0.01507 0.000429 0.001792 -0.006902007 0 0 0 0 0        
  -2.322E-05 0.012432 0 -0.01279 0.019312 0.004752 -0.03796 -0.04263 -0.008531142 0 0 0 0 0        
  0 -3.06135 -3.10751 -2.77376 -2.80148 -3.09414 -3.04257 -3.01011 -3.100552442 0 0 0 0 0        
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  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
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  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
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  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
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  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
  0 0 0 0 0 0 0 0 0 0 0 0 0 0        
                                     
                                     
  Barclays Bp BTC LTC RBS Sanisburt Sanisbury Barclays Bp BTC LTC RBS Sanisburt Barclays        
Barclays 0.0654256 0.011839 0.0135 0.00065 0.005507 0.00043 0.000558 0.005018 0.00674921 0.005953 0.016308 0.004462 -0.0037 0.017513        
Bp 0.0118387 0.035695 0.005002 0.005826 0.004085 0.003941 -0.00012 0.003555 0.000445013 0.001442 0.010052 0.006614 0.000666 0.010436        
BTC 0.0135004 0.005002 0.019809 0.004123 0.008081 0.004454 0.004141 0.008053 0.005774018 0.006205 0.011079 0.006558 0.001087 0.0129        
LTC 0.00065 0.005826 0.004123 0.024859 0.002402 0.001889 0.000267 0.002917 -0.002947715 -0.00463 0.000723 -0.00176 0.001962 0.002248        
RBS 0.0055072 0.004085 0.008081 0.002402 0.02137 0.007734 0.007546 0.00882 0.006534345 0.008824 0.006821 0.006616 0.003194 0.005095        
Sanisburt 0.00043 0.003941 0.004454 0.001889 0.007734 0.021041 0.003383 0.005793 0.005929953 0.007539 0.005143 0.004656 0.002117 0.002587        
Sanisbury 0.0005585 -0.00012 0.004141 0.000267 0.007546 0.003383 0.021585 0.007284 0.005687913 0.007578 0.005567 0.002872 0.000414 0.003285        
Barclays 0.0050185 0.003555 0.008053 0.002917 0.00882 0.005793 0.007284 0.026812 0.012255408 0.013512 0.006717 0.004545 0.00535 0.007135        
Bp 0.0067492 0.000445 0.005774 -0.00295 0.006534 0.00593 0.005688 0.012255 0.036530164 0.032501 0.005527 0.001874 0.008323 0.00465        
BTC 0.0059529 0.001442 0.006205 -0.00463 0.008824 0.007539 0.007578 0.013512 0.03250126 0.047435 0.005239 0.003932 0.007684 0.005432        
LTC 0.0163079 0.010052 0.011079 0.000723 0.006821 0.005143 0.005567 0.006717 0.005526574 0.005239 0.075242 0.01391 -0.00153 0.019429        
RBS 0.0044617 0.006614 0.006558 -0.00176 0.006616 0.004656 0.002872 0.004545 0.001874274 0.003932 0.01391 0.027707 0.001093 0.004944        
Sanisburt -0.0036967 0.000666 0.001087 0.001962 0.003194 0.002117 0.000414 0.00535 0.008322911 0.007684 -0.00153 0.001093 0.016314 0.001841        
Barclays 0.0175131 0.010436 0.0129 0.002248 0.005095 0.002587 0.003285 0.007135 0.004650163 0.005432 0.019429 0.004944 0.001841 0.025324        
                                     
  MVP         Optimal Portfolio 1       Optimal Portfolio 2       Linear Combo  
  Companies Weight Porfolio Mean 1.223649   Companies Weight Porfolio Mean 0.221599051   Companies Weight Porfolio Mean 0.375367   Covar 0.005273  
  Barclays 0 Portfolio Volatility 0.274304   Barclays 0.054278 Portfolio Volatility 0.070718949   Barclays 0 Portfolio Volatility 0.217797   Weight in X 0.4  
  BP 0 Sum of Weights 1.000001   BP 0.04371 Sum of Weights 1   BP 0 Sum of Weights 1   Mean 0.31386  
  BTC 0 Sharpe 4.439419   BTC 0.027931 Sharpe 3.050088462   BTC 0 Sharpe 1.696387   Volatility 0.142857  
  LTC 0 Minimum % In Stock 0.03   LTC 0.160668 Minimum % In Stock 0.03   LTC 0 Minimum % In Stock 0.03        
  RBS 0 Maximum % In Stock 0.25   RBS 0 Maximum % In Stock 0.25   RBS 0 Maximum % In Stock 0.25        
  Sanisburys 0       Sanisburys 0.120464       Sanisburys -1E-06            
  Sanisburys 0       Sanisburys 0.174356       Sanisburys 0            
  Unilever 0       Unilever 0       Unilever 0            
  Barclays 0       Barclays 0.020101       Barclays 0            
  BP 0       BP 0       BP 1.000001            
  BTC 1.000001       BTC 0       BTC 0            
  LTC 0       LTC 0.108711       LTC 0            
  RBS 0       RBS 0.254334       RBS 0            
  Sanisburys 0       Sanisburys 0.035447       Sanisburys 0            
                                     
                                     

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