Enhancing e-Infrastructures with Advanced Technical Computing: Parallel MATLAB® on the Grid
12 Sep 2008
11 Sep 2009)
code exercises for M11 tutorial at SC08
function [fig, muVec, covMat, expRet] = Demo1_setup_optim(difficulty)
%PCTDEMO_SETUP_OPTIM Perform the initialization for the Parallel Computing
%Toolbox Portfolio Optimization demos.
% [fig, muVec, covMat, expRet] = pctdemo_setup_optim(difficulty)
% fig The output figure for the demos.
% muVec All the desired returns
% covMat The covariance matrix of the stock returns
% expRet The expected stock returns
% Copyright 2007 The MathWorks, Inc.
% $Revision: 184.108.40.206 $ $Date: 2007/11/09 20:05:44 $
% Demo details
% The efficient frontier of a collection of stocks is the set of points
% (rsk, ret) such that for a given level of risk, call it rsk, we let ret be
% the highest possible return of any portfolio selected from the given stock
% We calculate the efficient frontier in the following manner:
% We define the risk to be the risk in the mean-variance sense, and fix the
% return ret. We then find the portfolio that minimizes the risk.
% This leads us to solve a quadratic minimization problem with the equality
% constraint that the portfolio weights sum to 1 and that the portfolio
% must have the expected return ret.
% The stock weights in the portfolio must of course be between 0 and 1.
fig = pDemoFigure();
set(fig, 'Name', 'Portfolio Optimization');
numPorts = 100;
minPorts = 1;
numPorts = max(minPorts, round(numPorts*difficulty));
numStocks = 100;
% Load the rets matrix from file.
rets = ;
numStocks = min(numStocks, size(rets, 2));
% Generate the covariance matrix and the mean expected returns.
covMat = cov(rets(:,1:numStocks));
expRet = mean(rets(:,1:numStocks));
retRange = [min(expRet(expRet>0)) max(expRet)];
rangeFudge = abs(diff(retRange))/20;
retRange = retRange + [rangeFudge -rangeFudge];
% Generate a vector of required returns.
muVec = linspace(retRange(1), retRange(2), numPorts);
% Generate a graph of a few of the returns.
stockSel = [1, 2, 3];
ax = axes('parent', fig);
title(ax, sprintf('The daily returns of %d of the %d stocks', ...
end % End of pctdemo_setup_optim.