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Mean-variance portfolio optimization using GA and PATTERNSEARCH

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Mean-variance portfolio optimization using GA and PATTERNSEARCH

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15 Oct 2007 (Updated )

(A not-too-serious experiment / code sample)

util(Wts)
function[f] = util(Wts)
% Mean-variance utility calculation, invoked by PORTOPTGADS
% Example: none (Oh, FEX code metrics..) 
global expRetExt expCovExt A
f = - (expRetExt*(Wts') - A*Wts*expCovExt*(Wts')/2);

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