Modern Portfolio Theory (MPT) Optimizer

Modern Portfolio Theory (MPT) Optimizer (2-Asset)

This tool demonstrates MPT principles for a portfolio of two assets. Enter annualized expected returns, standard deviations (volatility), their correlation, and the risk-free rate.

Asset 1 Details

Asset 1 Name (Optional):

Expected Return (% p.a.):

Annualized expected return.

Std. Deviation (% p.a.):

Annualized volatility.

Asset 2 Details

Asset 2 Name (Optional):

Expected Return (% p.a.):

Std. Deviation (% p.a.):

Portfolio Parameters

Correlation (Asset 1 & Asset 2):

Value between -1 and 1.

Risk-Free Rate (% p.a.):

Number of Portfolios for Frontier:

More points give a smoother curve (e.g., 101 for 1% steps).

Display Currency: USD ($) EUR (€) GBP (£) JPY (¥) INR (₹) % (Generic Units)

Context for returns if monetary. Ratios are unitless.

Actions

Optimization Results

Global Minimum Variance (GMV) Portfolio

Weight Asset A: -

Weight Asset B: -

Expected Return: -

Std. Deviation (Risk): -

Sharpe Ratio: -

Max Sharpe Ratio (Tangency) Portfolio

Weight Asset A: -

Weight Asset B: -

Expected Return: -

Std. Deviation (Risk): -

Sharpe Ratio: -