tom idzorek’s portfolio optimizer - duke univ.doc

PORTFOLIOOPTIMIZERANEXCEL-BASEDVISUALBASICAPPLICATIONBETAVERSIONWRITTENANDDESIGNEDBYTOMIDZOREKThePortfolioOptimizerisanExcel--timedatainputs,optimizesasecuritieslist,........................................................................................................2FEATURESGENERALFEATURES.............................................................................2PORTFOLIOSTATISTICS.........................................................................2INDIVIDUALSECURITYSTATISTICS.......................................................3PLANNEDFEATURES.............................................................................3DISCLAIMER.....................................................................................................3MAINMENU.....................................................................................................4OPTIMIZATIONSETTINGS.................................................................................5MODIFYINGVECTORS......................................................................................6PORTFOLIOSTATISTICS....................................................................................7STOCKSTATISTICS...........................................................................................8BORDEREDPORTFOLIOMATRIX.....................................................................9EFFICIENTFRONTIER.....................................................................................10CORRELATIONANDCOVARIANCEMATRICES.........................................11-12INDIVIDUALASSETSHEETS...........................................................................13ACTIVEPORTFOLIOMANAGEMENTSTATISTICS............