Hi,
I'm looking to create a sharpe style analysis. This is done by regressing the return of one fund against mulitple benchmark returns. The coefficents of the resulting multiple regession must be positive and sum to one. I'm not sure if excel is capable of doing this which I believe is referred to as quadratic programming. Does anyone know if it is possible to do this using the solver function and if so how? I've attached a spreadsheet of the raw returns (Column B & Benchmark returns in C,D,E&F).
Thanks
Paul
Bookmarks