Creating Random Portfolios from list of assets

Hi there,

This is my first post (hopefully of many).

I need assistance in creating 100 random portfolios from a list of 10 assets. I have the return history of the 10 assets and I'm able to calculate the mean and standard deviation of each asset as well as the covariance/correlation between each of the 10 assets. I want to choose to portfolio with the least variance as well the portfolio with the lowest and highest return.

Would it also be possible to introduce a limit that constrains the maximum allocation to each asset at 25%?

Many thanks for any assistance on this matter.

Regards,
Grant Hogan

Grant - you want to upload a sample sheet? It will help define the problem more clearly.

Cheers

Hi Amit, thank you very much for your assistance.

My apologies for not attaching any of the information. Please see information attached.

I have calcuated the Return (annualised return) and Risk (annualised standard deviation) and correlation matrix of the assets.

Regards,
Grant

The portfolio weights also need to sum to 100%.

Grant,

please see attached.

The sheet creates one random portfolio at a time. I've added in a macro to calculate values for 100 random portfolios and copy-paste the results.

To limit the allocation to 25% to anyone portfolio, I've used the allocation for the 18th portfolio as the balancing figure.

Let me know if you have questions.

Cheers


PS: if you are looking for the efficient frontier, there may be better ways to do this than building 100 random portfolios.

Hi Amit, thanks very much for the attached, extremely helpful. Thank you also for your advice on creating efficient frontier.

I have in the past used software that optimizes a portfolio and creates an efficient frontier based on mean-variance optimization. The attached spread sheet is great because in this exercise I'm not really that interested in the best risk adjusted or highest return portfolios only, moreover, I'm interested in looking the dispersion of the various portfolios that could have been constructed (the very best to the very worst and getting a sense of what relative performance could have been).

Again, thank you very much. I will definitely endeavour to assist you and others as much I can.

Regards,
Grant

Most welcome. All the best with the exercise.

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Cheers

Re: Creating Random Portfolios from list of assets SOLVED