Using matrix algebra in Excel

With this page, I like to show you the possibilities that Excel offers to use matrix algebra for implementing models in the context of portfolio theory. In general, using matrix algebra in Excel allows you to simplify spreadsheets, which make them easier to read and maintain. I have recorded several videos with instructions for Excel users.

List of convenient tools

  • Calculate the standard deviation of a portfolio.
  • Calculate the full historical covariance matrix of security returns based on a set of data with time series of returns.
  • How to convert a covariance matrix into a correlation matrix

List of portfolio optimization tools

  • The optimal portfolio of risky securities by optimizing expected utility
  • The portfolio that minimizes risk given a target level of return.