This money is invested on behalf of pension funds, unit. INTRODUCTION Each of the larger fund management companies in the UK/US are responsible for the investment of several billion pounds/dollars. Keywords: portfolio optimisation, efficient frontier 1 1. Computational results are presented for five data sets involving up to 225 assets. Consider that the drift of the risky asset is and its volatility is. We present three heuristic algorithms based upon genetic algorithms, tabu search and simulated annealing for finding the cardinality constrained efficient frontier. This means that the investor is building a portfolio with only two assets. As you open the visual basic, you will see a window like the one below. You can press the excel shortcut key ALT + F11 to open Visual Basic. We illustrate the differences that arise in the shape of this efficient frontier when such constraints are present. 1 Paste Code in Module To write VBA code, you first need to go to the Developer tab and click on Visual Basic. We extend the standard model to include cardinality constraints that limit a portfolio to have a specified number of assets, and to impose limits on the proportion of the portfolio held in a given asset (if any of the asset is held). In this paper we consider the problem of finding the efficient frontier associated with the standard mean-variance portfolio optimisation model.
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