It is very common for unconstrained efficient portfolio frontiers to recommend sizeable short positions or unrealistically high exposures to individual stocks. Therefore, in practice it is quite often mandated that some constraints on minimum and maximum allocations are maintained. However, this makes building the frontier itself quite computationally and conceptually challenging. Today we are investigating a simple, flexible, and efficient procedure to construct optimal portfolios and frontiers with arbitrary allocation constraints in Excel and discuss the impact allocation constraints has on their shapes and feasible investment opportunities.

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