Portfolio Optimization Interface

Adjust the assumptions and bounds below to find the portfolio that maximizes expected return minus the variance penalty. Calculations remain within the Wharton Backtester application.

Number of assets

2 assets 3 assets 4 assets 5 assets 6 assets 7 assets 8 assets 9 assets 10 assets 11 assets 12 assets 13 assets 14 assets 15 assets 16 assets 17 assets 18 assets 19 assets 20 assets 21 assets 22 assets 23 assets 24 assets 25 assets 26 assets 27 assets 28 assets 29 assets 30 assets

Update asset count

Enter numerical values in decimal form: for example, enter a 4% mean return as .04, not 4.0. Initial weights must sum to 1.

Objective Function

E(R) - 0.5 × × Var(R)

Enter the coefficient of risk aversion.

Compute

A two-asset rebalancing to improve the objective

The portfolio that maximizes the objective

Initial Portfolio Parameters

Asset	Mean	St Dev	Initial Weight	Lower Bound	Upper Bound
1 Asset 1
2 Asset 2

Blank bounds are unlimited.

Correlation Matrix

Asset	1	2
1 Asset 1	1.00000
2 Asset 2		1.00000

Optimize Portfolio Reset inputs