Why don't you try some thing like:
maximise rentability / variance i.e. maximise the ratio of rentability and
variance
this is similar to what you want to achieve.

Mangesh


"Oana" wrote in message
...
Hello everybody.

I was wondering whether Solver can be used for optimising portfolios when
2
target cells need to be changed: minimizing variance and maximizing
rentability?

Thank you very much,

Oana Truta