Sharpe Ratio Optimal Portfolio

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Risk Free Return 0.05

Stock Returns Portfolio Allocation

ATT GMC USX ATT 0.132
0.3 0.225 0.149 GMC 0.650 Values to be changed
0.103 0.29 2.60E-01 USX 0.218 by Solver
0.216 0.216 0.419 Total 1.000
-4.60E-02 -0.272 -0.078 Constraint
-0.071 0.144 0.169 in Solver
0.056 0.107 -0.035
0.038 0.321 0.133
0.089 0.305 0.732 Covariance Matrix
0.09 0.195 0.021 ATT GMC USX
0.083 0.39 0.131 ATT 0.010808 0.0124072 0.0131
0.035 -0.072 6.00E-03 GMC 0.012407 0.0583917 0.0554
0.176 0.715 0.908 USX 0.013075 0.0554264 0.0942
Mean Returns 0.08908333 0.2136667 0.234583 Variances 0.001627 0.0336175 0.0127

Expected Portfolio Return 0.201791 Value to be

Sharpe Ratio 0.693317 maximized

INSTRUCTIONS
Set your desired Risk Free Return
Start the Excel Solver and
i) Maximize the Sharpe Ratio
ii) Change "By changing variable cells" to the range of cells containing the Portfolio Allocation
iii) Set the constraint (the total portfolio allocation must add up to one)
iv) Click Solve. You should now find that you Portfolio Allocation has changed.
ncial Modeling spreadsheets

Values to be changed
by Solver

Portfolio Standard Deviation

0.2189349

olio Allocation