Efficient Frontier using different risk return measures

Code for finding optimal portfolios and plotting efficient frontier for diff. risk return measures
930 Downloads
Updated 28 Aug 2012

View License

This code plots efficient frontier and calculates the optimal portfolio based on Mean-variance, mean-semi variance and mean-Value at Risk measures. Only 2 asset can be used with this code. The code loads data from excel file that contains one column for each asset returns (no date). VaR calculated using historical simulation method.

Cite As

Saurabh Yadav (2024). Efficient Frontier using different risk return measures (https://www.mathworks.com/matlabcentral/fileexchange/37925-efficient-frontier-using-different-risk-return-measures), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Risk Management Toolbox in Help Center and MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Published Release Notes
1.1.0.0

Added comments to the code

1.0.0.0