Rolling Portfolio Optimization

This portfolio optimization tool performs rolling portfolio optimization where at the start of each year the portfolio asset weights are mean variance optimized for the maximum Sharpe Ratio based on the specified timing window of past returns. The allocation for both the optimal risk adjusted portfolio and the inverse volatility weighted simple risk-parity benchmark portfolio are updated at the start of each year. The required inputs for the optimization include the time range and the portfolio assets. Portfolio asset weights and constraints are optional.

Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%