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Our Premium Solver products are fully compatible with the standard Microsoft Excel Solver, which we developed for Microsoft. Your existing Solver workbooks and macros can be used without any changes. The Premium Solver products handle much larger optimization problems and offer greatly improved speed -- up to 100 times faster in some cases -- as well as new ease-of-use features and greater control over algorithmic options.
For more information, click on one of the product names below. Note: We have replaced the Large-Scale LP Solver V2.0 standalone product with the Large-Scale LP Solver Engine V3.5 for the Premium Solver Platform. In future releases, we plan to phase out the Premium Solver Plus, replacing it with the Premium Solver Platform.
A popular use of the Microsoft Excel Solver is for the construction of efficient portfolios of securities -- often called portfolio optimization. Inputs to this process consist of a set of securities (stocks, bonds, etc.), their projected rates of return, their riskiness as measured by the variance (or standard deviation) of price changes, and the covariance (or correlation) between different securities. A simple Solver model will then determine the best allocations of funds to each security, to yield the highest rate of return for a given level of risk, or the lowest risk for a given rate of return.
The nonlinear optimizer included with the standard Microsoft Excel Solver can solve problems of this type; however, for problems which involve many securities and/or large amounts of money, it can be slow and slightly less accurate than more specialized methods. For significant portfolio optimization problems, we strongly recommend our Quadratic Solver, which is included in the Premium Solver Platform shown above.
The basic method of portfolio optimization, developed by Nobel laureate Harry Markowitz, requires a measure of covariance or correlation between each pair of securities in the portfolio. An alternative method, based on the Capital Asset Pricing Model (CAPM) of Nobel laureate William F. Sharpe, requires only a measure of correlation between each security and the overall market. An example Solver model implementing the Markowitz method is included with the Premium Solver Platform; an example using the Sharpe method is included in SOLVSAMP.XLS, the example Solver workbook bundled with Microsoft Excel.
Either the correlations between pairs of securities, or the correlation of each security with the overall market can be easily calculated on a spreadsheet, if you have a history of price changes for each security (and a market index). An example Solver model for the Markowitz method that includes the calculations from a history of price changes is included with the Premium Solver Platform.
