Markowitz Portfolio Optimization

An efficient frontier is only useful once you can see where your own basket sits against it. This builds the curve from the covariance matrix of the assets you actually hold, marks the maximum Sharpe and minimum variance portfolios, and puts your current allocation on the same picture, so the distance between them turns into a number you can act on.

• Efficient frontier computed from the covariance matrix of your own assets
• Maximum Sharpe and minimum variance portfolios identified on the curve
• Weights, constraints and the contribution of each asset to total portfolio risk