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This paper introduces a software component created in Visual Basic forApplications (VBA) that can be applied for creating an optimal portfolio usingtwo different methods. The first method is the seminal approach of Markowitzthat is based on finding budget shares via the minimization of the variance ofthe underlying portfolio. The second method is developed by El-Khatib andHatemi-J, which combines risk and return directly in the optimization problemand yields budget shares that lead to maximizing the risk adjusted return ofthe portfolio. This approach is consistent with the expectation of rationalinvestors since these investors consider both risk and return as thefundamental basis for selection of the investment assets. Our package offersanother advantage that is usually neglected in the literature, which is thenumber of assets that should be included in the portfolio. The common practiceis to assume that the number of assets is given exogenously when the portfoliois constructed. However, the current software component constructs all possiblecombinations and thus the investor can figure out empirically which portfoliois the best one among all portfolios considered. The software is consumerfriendly via a graphical user interface. An application is also provided todemonstrate how the software can be used using real-time series data forseveral assets.

A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios