Efficient Frontier using different risk return measures
by
Saurabh Yadav
27 Aug 2012
(Updated
28 Aug 2012)
Code for finding optimal portfolios and plotting efficient frontier for diff. risk return measures

Sharpe( weights )

function [ opmvsharp ] = Sharpe( weights )
%This function calculates the Sharpe ratio or Risk return ratio of a
%portfolio. The function is then used with "fmincon", MATLAB's optimization
%command to find the portfolio that has maximum Sharpe ratio.
%declaring variables to be used with the function
global meanvar VCV meanret;
%calculating portfolio returns
mvportret=meanret*weights;
%Calculating portfolio risk
mvrisk=sqrt(weights'*VCV*weights);
%Calculating Sharpe's Ratio
opmvsharp=mvportret/mvrisk;
end


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