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This has to do with a Monte Carlo Model I’m doing that seeks to generate the optimal Portfolio Mix for a Fixed Income Portfolio based on key rate durations and view on yields.
The basic input to the model is a portfolio mix, defined by allocation(%) per bond tenor.
Allocation per Bond Tenor
Run No. 6Month 1Year 3Year 5Year 7Year 10Year 15Year 20Year 25Year 30Year Total
1 100% 0% 0% 0% 0% 0% 0% 0% 0% 0% 100%
Each portfolio mix would constitute one run, and the model needs to do several for it find the optimum mix. Is there a quick way for excel to do this? Thanks.
Allocation per Bond Tenor
Run No. 6Month 1Year 3Year 5Year 7Year 10Year 15Year 20Year 25Year 30Year Total
1 100% 0% 0% 0% 0% 0% 0% 0% 0% 0% 100%
2 95% 5% 0% 0% 0% 0% 0% 0% 0% 0% 100%
3 95% 0% 5% 0% 0% 0% 0% 0% 0% 0% 100%
4 95% 0% 0% 5% 0% 0% 0% 0% 0% 0% 100%
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xx 0% 0% 0% 0% 0% 0% 0% 0% 0% 100% 100% Read More