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Mean-Variance Optimization Calculator

Solve two‑asset weights to reach a target expected return with minimal variance.

Mean‑Variance Optimization Calculator

Solve weights for a two‑asset portfolio at a chosen expected return.

Related Calculators

Portfolio analytics

Tangency Portfolio (Max Sharpe)

Sharpe‑maximizing mix.

Efficient Frontier (Two‑Asset)

Best portfolios for each risk.

Minimum Variance Portfolio

Lowest risk allocation.

Portfolio Variance

Aggregate risk from weights and covariances.

Guide

Turning optimization outputs into real portfolios

Impose weight bounds and turnover limits to reduce sensitivity.
Blend with a benchmark to create stable, investable allocations.
Update inputs on a fixed cadence; avoid chasing recent performance.

Frequently Asked Questions

SEO‑ready answers about mean‑variance optimization

What is mean‑variance optimization?

A framework that selects portfolio weights to minimize variance for a given expected return or maximize return for a given variance.

Why might a target return be unattainable?

If the desired return exceeds the higher asset's expected return or is below the lower one (with non‑negativity constraints), a solution may not exist.

Are weights constrained to 0–100%?

This demo constrains implicitly via feasibility. In practice, you can enforce non‑negative weights or allow shorting.

How sensitive are results to inputs?

Very—small changes in expected returns can swing weights. Use robust estimates, shrinkage, or Black‑Litterman approaches.

Does diversification always reduce risk?

Generally, but if assets are highly correlated, the benefit diminishes—correlation is key.

What is the tangency portfolio?

The Sharpe‑maximizing mix when a risk‑free asset is available; it defines the Capital Market Line.

How do I include constraints like max weight?

Optimization with constraints can be solved numerically; this simplified tool illustrates the core idea.

Should I include transaction costs?

Yes—costs and taxes impact realized returns; frequent rebalancing can erode performance.

What about non‑normal returns?

Fat tails and skew can invalidate variance as a complete risk measure; consider CVaR or drawdown metrics.

How often to update inputs?

Quarterly or semiannually with a documented process; avoid overfitting to short windows.

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Mean-Variance Optimization Calculator

Solve two‑asset weights to reach a target expected return with minimal variance.

How to use Mean-Variance Optimization Calculator

Step-by-step guide to using the Mean-Variance Optimization Calculator:

Enter your values. Input the required values in the calculator form
Calculate. The calculator will automatically compute and display your results
Review results. Review the calculated results and any additional information provided

Frequently asked questions

How do I use the Mean-Variance Optimization Calculator?

Simply enter your values in the input fields and the calculator will automatically compute the results. The Mean-Variance Optimization Calculator is designed to be user-friendly and provide instant calculations.

Is the Mean-Variance Optimization Calculator free to use?

Yes, the Mean-Variance Optimization Calculator is completely free to use. No registration or payment is required.

Can I use this calculator on mobile devices?

Yes, the Mean-Variance Optimization Calculator is fully responsive and works perfectly on mobile phones, tablets, and desktop computers.

Are the results from Mean-Variance Optimization Calculator accurate?

Yes, our calculators use standard formulas and are regularly tested for accuracy. However, results should be used for informational purposes and not as a substitute for professional advice.