Problem with Solver add-in. Changing values
 

I try to calculate the minimun variance portfolio from a varians-
covariance matrix. The problem is that the target cell has changed
value a couple of times when I made small changes and then changed
back so now I can't know which one is correct, how could this be? I
use this formula:
=MMULT(TRANSPOSE(DH2:DH26);MMULT(CE2:DC26;DH2:DH26 ))
DH2:DH26 = stock weights (which are being changed by Solver to
minimize target cell)
CE2:DC26 = variance-covariance matrix

Thanks!

Problem with Solver add-in. Changing values
 

Hi. I am not sure of the question, but guessing from the size of the
problem, you may be running into Local Minimum values, and not Global
values. Just guessing of course.

=MMULT(TRANSPOSE(DH2:DH26);MMULT(CE2:DC26;DH2:DH26 ))

If I am not mistaken, this non-array entered formula should return the
same thing...

=SUMPRODUCT(DH2:DH26,MMULT(CE2:DC26,DH2:DH26))

= = =
HTH :)
Dana DeLouis


wrote:
I try to calculate the minimun variance portfolio from a varians-
covariance matrix. The problem is that the target cell has changed
value a couple of times when I made small changes and then changed
back so now I can't know which one is correct, how could this be? I
use this formula:
=MMULT(TRANSPOSE(DH2:DH26);MMULT(CE2:DC26;DH2:DH26 ))
DH2:DH26 = stock weights (which are being changed by Solver to
minimize target cell)
CE2:DC26 = variance-covariance matrix

Thanks!