Mean-variance portfolio optimization using GA and PATTERNSEARCH: util(Wts) - File Exchange

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Highlights from
Mean-variance portfolio optimization using GA and PATTERNSEARCH

Mean-variance portfolio optim...
util(Wts) Mean-variance utility calculation, invoked by PORTOPTGADS
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from Mean-variance portfolio optimization using GA and PATTERNSEARCH by Dimitri Shvorob
(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);

Highlights from Mean-variance portfolio optimization using GA and PATTERNSEARCH

Highlights from
Mean-variance portfolio optimization using GA and PATTERNSEARCH