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Using MATLAB to Optimize Portfolios with Financial Toolbox


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Using MATLAB to Optimize Portfolios with Financial Toolbox



Scripts and data to demonstrate the new Portfolio object in Financial Toolbox.

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A .zip file contains a series of scripts that were used in the MathWorks webinar "Using MATLAB to Optimize Portfolios with Financial Toolbox." The scripts demonstrate features of the Portfolio object and follows with case studies that demonstrate how to customize the tools for different tasks, including Sharpe/information ratio optimization and 130/30 portfolios. A readme.txt. file in the .zip folder describes how to use the scripts.

Required Products Financial Toolbox
Optimization Toolbox
Statistics Toolbox
MATLAB release MATLAB 7.12 (R2011a)
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Comments and Ratings (11)
04 Aug 2014 Hua

Dear Bob Taylor,

Could you please help me with this question.

How could I find out for what the risk is for a given target return? (line 130)
I can look at the graph and make an estimation but is there a way to output the exact number??

Also I am working on daily data and plotting an efficient frontier for every three month. would it still work?

I look forward to hear back from you, any help will be high appreciated.


06 May 2014 Narek  
12 Apr 2014 Bob Taylor

The webinar and scripts illustrate various ways to implement portfolio optimization under an assumption that you already have the data you need (gathering, managing, scrubbing, and forming total returns data can be a messy or easy process depending upon which data sources you might be able to access). The MATLAB Datafeed Toolbox has a good selection of sources although some sources require that you to have a license to obtain such data.

The BlueChipStocks file contains monthly total return data for 44 stocks, 1 market index, and 1 cash index. These data are in the variable Data with corresponding asset identifiers in the variable Asset and (month-end) dates in the variable Date. The last variable Map contains indicators that match the pattern of Data to identify which assets were in the universe on a given date.

If you have monthly total return data, you should be able to modify these four variables to suit your requirements and the scripts ought to work with minor modification (for example, you would have to specify the time period for backtests and so forth).

08 Apr 2014 Arslan Habib, CFA

The question is how to create the file named bluechipstocks. Please help. I am stuck at this point and its useless I can not define my stocks and time period my choice. Any help will he highly appreciated. You can also send email at

08 Apr 2014 Arslan Habib, CFA

In this video you can not change the stocks in the bluechipstocks sheet. How will change the bluechipstocks sheet to use stocks which i want instead of the stocks you have ?

23 Feb 2014 rakesh


11 Oct 2013 Robin  
11 Oct 2013 Robin

Many thanks for part1_intro - of great help for my master's thesis' research! Question: in what way does "Confirm that Maximum Sharpe Ratio is a Maximum" fulfill it's purpose as the Sharpe generated there has different values (risk, return) from the one generated in "Maximize the Sharpe Ratio"?

24 Jul 2013 Benjamin

where is "map" coming from? There doesn't seem to be any correspondance between map and when the assets were live.

04 Mar 2013 oussama salhi

Very good model

24 Jan 2012 Raymond Morano

I see the portfolio object in release 2007B

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