Good day everyone.
As part of a portfolio strategy, I need to determine the optimal weights in order to maximize the sharpe ratio.
In order to do that, I want to make use of SOLVER.
When I do this, the SOLVER acts like it's giving a solution but nothing changes to the portfolio weights.
Does this have something to do with the "complexity" of some functions on which the sharpe ratio is based?
These are partly based on IF functions.
Please find my excel file attached.
The sheet to look at is "Momentum Signals".
There you can find the weights and sharpe ratio.
What I did to maximize is:
- set objective: $H$3
- by changing variables cells: $C$3:$F$3
No matter what solving method I choose, it does not solve!!
I would greatly appreciate any help. Thanks
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