Microsoft Excel sucks for quant development?

(Last Updated On: May 11, 2012)

Microsoft Excel sucks for quant development?

I am having a problem with Excel’s solver. The thing is that I am calculating mean-variance optimal portfolios with 126 assets. These assets do not have a lot of correlation, and in the limit, probably due to rounding circumstances + the amount of assets the Solver is having some troubles finding the optimizing points. I know, probably there are a lot of local maximas.
What would you recommend ? Should I just go MATLAB or R on this ? – My company does not have a license for these.

 

Actually, they are 184 assets. The variance covariance matrix is 184 x 184 which is probably a lot of meat for Mr. Bill Gates.
Oh, I’m not planning to use principle components – the whole point of this project is to explain the shift in risk vs the mix of assets and PCA eliminates this explaining power.

Thanks.

 

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Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs