Dear friends,

I'm using Excel Solver to build up the optimal asset weight in ETF portfolio follow Markowitz's method with max Theta and constraint total weight = 100%.

However, the return for optimal weight seems to be very much unrealistic to me. The percentage is too large or too small (> 1,000,000%) to be exact.

Really appreciate if you can have a look at attached file and give me an advice.

Thank you

ETF Selection - Mar 27, 2015 - test.xlsx