I'm thinking of putting together a portfolio of about 10 ETFs, and I'd like to try Mean-Variance Optimization to establish the component weights. Has anyone tried this? With satisfactory or unsatisfactory results? What software can you recommend? How easy or difficult was it?
Dave
This can be done in Excel -- search online for spreadsheets. Probably you want to impose a long-only constraint. If your expected return estimates are from trailing returns, the expected returns for many stock ETFs may be negative, and the optimizer will tell you not to own them. You should come up with your own expected return estimates, perhaps based on your estimate of the equity risk premium.
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