Portfolio Optimizer
Explore mean-variance portfolio optimization. Start with a lecture example or enter your own assumptions. All inputs are editable, calculations run locally in the Backtester application, and no login is required.
Custom portfolio →Choose from 2 to 30 assets for a custom portfolio.
Asset allocation
Cash-stock asset allocation
Allocate between a risky stock portfolio and cash.
Open example → 4 assetsTangent portfolio
Combine three risky assets with a risk-free asset to explore the tangent portfolio.
Open example → 3 assetsStock-bond mix
Explore a long-only allocation across stocks, bonds, and cash.
Open example → 5 assetsLending and borrowing
Model separate lending and borrowing assets with different rates and weight constraints.
Open example →Capitalization-sorted equity portfolios
Sample average returns
Capitalization-sorted equity portfolios using sample average returns.
Open example → 5 assetsNeutral expected returns
Expected returns implied by a normal portfolio mix of (0.70, 0.15, 0.10, 0.05).
Open example → 5 assetsBlack-Litterman expected returns
Neutral expected returns combined with a view that small-cap stocks (asset 4) will outperform their neutral expected return by 10 basis points.
Open example →