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# MSCI516 Spreadsheet Modelling For Quantitative Finance

11 Pages / 2,561 Words Published On: 01-04-2021
Question:
You are provided with the data of close prices for shares resit.xlsx file). This is a small sample of 22 observatons for 8 companies. You are asked to develop a VBA model for portolio optmisaton (linear programming task) that would allow
user:
1. Selectng arbitrary shares from either the provided file or files with similar formatting (in terms of elements in rows i columns). e.g. user should be able to load a file with some data and select which shares to include in the model;
2. Selectng the periods or the whole history of specified shares to use in the model;
3. Defining arbitrary number of constraints for the portolio;
4. Defining types of constraints for the portolio;
5. Defining weights for risk i log-return;
6. Deciding whether to use the correlatons between the shares for the risk calculaton or not;
7. Optmising the portolio with the provided prices, weights and constraints (see above);
8. Producing efcient fronter for the portolio (graphically).
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