Portfolio Manager and Optimizer

This portfolio tool helps you construct a markowitz frontier for equities you have chosen from the list.  It also builds the CML (capital Market Line) from your risky-assets.

It finally shows you all mean-variance efficient portfolios that you can choose from, based on your risk aversion. For every possible risk, it gives the highest return and best asset allocation.

Note:

1. The list is pre-canned 100 stocks of S&P 100 list. The returns shown were historic 10 yr monthly returns (Jan1998 to Dec2008).
   
2. The optimization for mean variance frontier subject to constraints had been performed using Lagrange Multipiers and differential calculus.
3. Discovering the market portfolio of chosen risk-assets was done using linear algebra involving matrix calc.

The next phase of it will include more complex and sophisticated extensions like black-litterman and Treynor-Black models.