Browse By

Portfolio Management with Excel Solver

Portfolio Management with Excel Solver

Despite my best efforts to not write another text book, the impossible has happened again. We have some how managed to put together two hundred odd pages on using Excel Solver to address portfolio optimization problems in the investment management world.

Professor Mark Broadie at Columbia first introduced us to using Excel Solver for single and multi period optimization problems. That material really came together in the first optimization workshop I ran for customers in this part of the world about a decade ago. Over the next few years the content grew and evolved as we spent more time with treasury customers, first on the systems side, then pricing and then training.

Last month I ran a week long EMBA course on Portfolio Optimization for 15 students in Dubai at the SP Jain Campus. Post the course, I felt there was a need to put together a manual for students that they could use to play and explore Solver. That realization lead to a few posts that surprisingly grew into the textbook.

Originally put together as a class room study guide and a handy reference for their final exams, the book is a basic entry level text interested in exploring real world applications in the area of  investment and fund management and portfolio optimization. The audience is intermediate level finance and business school students.

portfolio-management-cover-1

The package includes two practice data set, two problem sets, excel templates used to solve illustrative portfolio optimization challenges, some theory and a handful of thought experiments.  The first 90 pages cover five days of lectures with example I recently delivered in Dubai as part of 6 day evening program. The remaining 90 include a number of detailed post chapter annexes and applications.

Key topics covered include risk and return, Capital Asset pricing model (CAPM), Alpha and Beta, holding period returns, volatility and correlations, the Index matching problem and a a detailed review of portfolio risk metrics. The course ends with an end of course portfolio optimization challenge for the life insurance industry.

The text book with the Excel file set will be available for download in the first week of December.  Drop us a line at jawwad at the rate financetrainingcourse dot com if you are interested in being notified when the title goes on sale.

Oh and if you are a current or previous MBA student of mine and would like to see an early release review copy with all the typos and numerical errors, drop me a note and I will be happy to send you one.

Batch 36 EMBA students if you are reading this – I have just emailed your copies to Daisy and Julie. They should be up on Black Board if not today, then certainly by mid day tomorrow. And no, the end of chapter Excel Solver challenge is not based on the final exam questions I had spoken to you about.

If you are interested in attending a shorter two day instructor led power version of the 6 day course, drop me a line. We are scheduling two back to back sessions in mid January – most likely in Dubai / Abu Dhabi followed by a second run in Bangkok and Phuket. Will be happy to send you the fliers and enrollment forms as soon as registration opens up and pricing had been finalized.

Comodo SSL