Create Solver Optimisation using VBA

Hi,

I am totally new to VBA and have been working on portfolio optimisation with mean-variance framework using solver with rolling window.

I have been using simple formulas to link the numbers and handle Solver manually to compute the weights (minimising the variance as well as maximising the sharpe ratio) over a monthly rolling sample period of 20 years, for 4 portfolios.

However, I am currently short of time now to manually compute these weights.

Would really appreciate if someone would be able to help me with the model.

Many thanks,
Natalie

Vikas Verma's picture

Please share your workbook

Hi Natalie,

Please share your workbook..