portfolio optimization with solver

Hello,

i'd like to minimize the tracking-error of my portfolio. The solver should find the weight of the assets.

The constraints are :
-the non-negativity of the weight
-the sum of the weights equals to 1
-relative return = expected relative return

But the solver gives the same weights to every asset except the first one
(25% + 3% + 3% + 3% + ...). The percentage value depends on the expected relative return.

Is there a way to fix this problem ?

thanks

Sounds like an interesting problem. But, I have no idea how your solver model is set up. Can you post a skeleton workbook with dummy data?

I give you an example. Run the solver with different values for "expected return" e.g. 0.005 (0.5 %) and 0.03 (3%)

dummydataexcelforum.zip