Resources > Portfolio Chooser

Access

The application is available on all desktop workstations in the Rotman Financial Research Lab. It's accessible as "Portfolio Chooser" on the main screen.

Overview

Developed by Tom McCurdy, with Excel programming by Joe Campolieti, these custom Excel applications provide templates to apply classroom material using real-time datafeeds. The package includes templates for:

Empirical examples of diversification and alternative portfolio choice rules: These applications compute individual security and portfolio statistics, such as, volatilities, correlations, alphas, betas, Sharpe ratios, etc. The applications can also solve for portfolio weights associated with the efficient frontier of the investment opportunity set -- both with or without short sales, portfolio weights associated with the globally minimum variance portfolio, the portfolio with maximum return per unit risk, etc. There is also a portfolio locator sheet which illustrates the location of user-specified portfolios in risk-return space. This application allows one to assess the opportunity costs in terms of reduced return or increased risk of sub-optimal portfolios or of restrictions on the feasible investment set due to market segmentation, etc.
Risk measurement and management: In addition to computing portfolio betas and volatilities, the applications also compute Value-at-Risk (VaR) for specified portfolios.

Portfolio Chooser

Portfolio Chooser details