![]() Portfolios that lie outside the efficient frontier are sub-optimal because they do not provide either enough return for the level of risk or have a higher risk for the defined rate of return. ![]() I know this is not the best way but I usually do not need more than 100 solutions and currently I can get it in 2 mins which is acceptable for me. It shows the set of optimal portfolios that offer the highest expected return for a given risk level or the lowest risk for a given level of expected return. ![]() I did it on a way to add condition that new solution needs to be <= (origRes - 0.01) because I know that all solutions will be with 2 decimal places. I will call this origID, origResĬheck if there is some solution with id origID and res = origResĪfter you make sure you found all solutions with optimal solution origRes, then we can go and find solution which is not optimal as origRes. If you can assign unique id for each possible solution on some way, which is true in my case, then for each solution you find you can check if there is some solution with same value with different id on following way :įind first optimal solution and save solution id and result. Actually, I have found a way to do this with Excel solver, although it is not optimal in sense of time consumption but that is not issue for me.
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