Why constrain weights?

Unconstrained optimizers often pile into one or two assets. Min/max weight limits keep the result diversified and realistic.

Portfolio Optimization

Find the mathematically optimal weights for your objective — the minimum-volatility or maximum-Sharpe portfolio, or the best portfolio for a target return or risk — subject to per-asset weight limits. See the optimized allocation and how risk is distributed across it.

Educational use only — not investment advice

This tool is for educational and informational purposes only and does not provide financial, investment, tax, legal, or accounting advice. Results are hypothetical and based on historical data and assumptions that may be inaccurate. Past performance does not guarantee future results. Consult a licensed professional before making investment decisions.

OptimizationAdvanced

What is the Portfolio Optimization?

Solve for the minimum-volatility, maximum-Sharpe, risk-parity, or target return/risk portfolio — then see where the risk really sits.

The Portfolio Optimization tool computes the mathematically optimal weights for your chosen objective — minimum volatility, maximum Sharpe, risk parity (equal risk contribution), a target return at least risk, or a target risk at most return — under per-asset weight limits. Beyond the weights, it decomposes the result into each holding's risk contribution, so you can see when a small position quietly carries a large share of total risk. Risk parity is especially useful: most 'balanced' portfolios are dominated by stock risk, and equalizing risk contributions gives a steadier ride.

How to use it

1Enter your assets and pick an objective: minimum volatility, maximum Sharpe, risk parity, or a target return/risk.
2Set any per-asset weight limits, the expected-return method, and a risk-free rate.
3Run it to get the optimal weights, see where the risk actually sits (each holding's risk contribution), and compare against equal-weight and a benchmark.

What you'll get

✓Optimal weights
✓Weight vs. risk-contribution chart
✓Position on the efficient frontier
✓Comparison vs. equal-weight & benchmark
✓Correlation matrix

New here? See it in action

Max-Sharpe with a 40% cap — Optimize six assets for the best risk-adjusted return while capping any single holding at 40% to avoid concentration.

Load this example

↓ Or build your own below

Assets

Objective

Start date

End date

Expected return

Min weight / asset (%)

Max weight / asset (%)

Benchmark

Risk-free rate

Auto

Include dividends

How the Portfolio Optimization works

Uses the same constrained mean-variance engine as the efficient frontier, selecting the frontier point that meets your objective. Risk contributions sum to total portfolio volatility.