  This paper introduces a software component created in Visual Basic for
Applications (VBA) that can be applied for creating an optimal portfolio using
two different methods. The first method is the seminal approach of Markowitz
that is based on finding budget shares via the minimization of the variance of
the underlying portfolio. The second method is developed by El-Khatib and
Hatemi-J, which combines risk and return directly in the optimization problem
and yields budget shares that lead to maximizing the risk adjusted return of
the portfolio. This approach is consistent with the expectation of rational
investors since these investors consider both risk and return as the
fundamental basis for selection of the investment assets. Our package offers
another advantage that is usually neglected in the literature, which is the
number of assets that should be included in the portfolio. The common practice
is to assume that the number of assets is given exogenously when the portfolio
is constructed. However, the current software component constructs all possible
combinations and thus the investor can figure out empirically which portfolio
is the best one among all portfolios considered. The software is consumer
friendly via a graphical user interface. An application is also provided to
demonstrate how the software can be used using real-time series data for
several assets.
