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Portfolio Optimization Modeling using Excel

Portfolio Optimization Modeling using Excel

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PwC's Academy
Event description

This workshop is exclusively for our CMA and CFA students. 

The Nobel Prize winning ‘Modern Portfolio Theory’ proposed by Harry Markowitz exhibits how one should determine, in practice, the expected returns, risk and correlation matrix to eventually form an optimized portfolio using advanced quantitative tools in Excel.

This workshop is the perfect opportunity for you to learn skills based on this theory to improve the investment performance of your portfolio; as an institution or an individual. Moreover, you will learn how to apply statistical tools on Excel with an emphasis on interpretation rather than just calculation.

Minimum expected knowledge

To get maximum benefit of this workshop, you should have:

  • Basic or intermediate MS Excel skills
  • Familiarity with statistical concepts such as weighted average, standard deviation and correlation
  • Awareness about the modern portfolio theory would be a huge plus but not a prerequisite


Key outcomes

By the end of this workshop, you will:

  • Understand about creating a correlation/covariance matrix using Excel
  • Calculating geometric mean return of major asset classes and forecasting future given future expectations
  • Calculate key statistics such as standard deviation and variance of returns
  • Implement strategic asset allocation and differentiate it from the tactical asset allocation
  • Understand the concept of efficiency in portfolios
  • Create capital allocation line for portfolios given market expectations
  • Conduct sensitivity analysis on portfolio risk and return

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