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Software for the demonstration of the fundaments of portfolio selection

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Pavlík M., Lukáčik M., Michalski G.
Econometrics. Ekonometria. Advances in Applied Data Analytics
|
2014
|
issue 3(45)
122-137
EN
Financial liquidity interconnections are close to be a portfolio investment problem. The following article is a result of the Slovak–Polish cooperation, between partners from University of Economics in Bratislava and Wroclaw University of Economics. We have created a set of three programs in MS Excel which calculate the approximation of the border of the investment opportunities. The applications are continually developed. All programs are written in VBA for Excel. The following article introduces the second and the third program in which we have coded the fundaments of the portfolio selection to the VBA Excel. Their names are FINV and IDPORT. The FINV calculates the border of investment opportunities by using matrix algebra. FINV works with the enabled short sales. IDPORT calculates the border of investment opportunities by using SOLVER, which is the optimization library. The software has many settings which will be described in the article. It demonstrates the fundaments of the theory of investment portfolio and it is suitable for the teaching purposes at this stage of the development.
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Portfolio selection: method of the step by step assigned weights

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Pavlík M., Michalski G., Lukáčik M.
Econometrics. Ekonometria. Advances in Applied Data Analytics
|
2015
|
issue 3 (49)
78-97
EN
The authors conceived a new simple method for creating the approximation of the border of investment opportunities. The method enumerates all the possibilities of assigning weights to the investment portfolio. It does not enable short sales. The software which the authors coded is written in VBA and also enables active management. The method is simple, accurate but demanding. The authors also created a simple methodology for testing the quality of the approximation of the border of investment opportunities.
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