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1、9PortfolioAnalysisUsingExcelJASONLAWSABSTRACTThischapteranalysesthefamiliarMarkovitzmodelusingExcel.Thistopicistaughton?nancedegreesandMastersprogrammesatUniversitiesallovertheworldincreasinglythroughtheuseofExcel.Wetaketimeouttoexplainhowthespreadsheetissetu
2、pandhowsimpleshortcutscanmakeanalysisofthistypeofproblemquickandstraightforward.Inthe?rstsectionofthechapterweusea2variableexampletoshowhowportfolioriskandreturnvarywiththeinputweightsthenhegoesontoshowhowtodeterminetheoptimalweights,inariskminimisationsense,
3、usingbothlinearexpressionsandalsousingmatrixalgebra.InthesecondpartofthechapterweextendthenumberofassetstosevenandillustrateusingmatrixalgebrawithinExcelthatMarkovitzanalysisofann-assetportfolioisasstraightforwardastheanalysisofatwoassetportfolio.Wetakespecia
4、lcareinshowinghowthecorrelationmatrixcanbegeneratedmostef?cientlyandhowwithinthesameframeworktheoptimisationobjectivecanbemodi?edwithoutfuss.9.1INTRODUCTIONThemotivationforthischapteristoshowhowtheMarkovitzmodelofportfolioriskcanbemodelledinExcel.Thegoalofthi
5、spaperisnottoprovideanin-depthdiscussionofthismodelbutinsteadtoshowhowitcanbeimplementedwithinExcel.Excellentdiscussionsofthismodelcanbefoundinawiderangeofcorporate?nanceorinvestmenttextbooks,includingCuthbertsonandNitzsche(2001).However,itisworthwhiletoprovi
6、deabriefoverviewofthistheory.Inessencetheunderlyingrationaleisbasedonthetwinfacetsofexpectedriskandreturn,withriskbeingmeasuredbythevarianceorstandarddeviationofexpectedreturns.Theef?cientfrontieroftheportfolioisgivenby:1.Thoseassetswhichofferahigherreturnfor
7、thesamerisk,orequivalently2.Thoseassetswhichofferalowerriskforthesamereturn.Theprecisepositionaninvestortakesontheef?cientfrontierdependsonhis/herutilityfunctionbasedonthetwomotivesofexpectedreturnandrisk;inotherwordstheutil-ityfunctionispositivelyslopedinthe
8、return/riskdomain.InitiallyIassumethatthisutilityfunctionisverysteep(i.e.theindividualishighlyriskaverse)sohis/herdesiredpositionisacornermaximumwhereriskisminimisedwithrespecttojusttwoas
