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Markowitz Efficient Frontier

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Markowitz Efficient Frontier

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Calculates the Markowitz Efficient Frontier

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Description

This function calculates the coordinates of NumPoints-1 equally spaced points and those of the minimum variance portfolio of Markowitz efficient frontier.
If LongOnly is specified to be true then the frontier will be a long only constrained one. Risk is mesured by the std. deviation.
Returns a structure with members Return and Risk

Example:
LongOnlyFrontier=EfficientFrontier(Assets,100,1);
UnconstrainedFrontier=EfficientFrontier(Assets,100);

Required Products Optimization Toolbox
MATLAB
MATLAB release MATLAB 7.12 (R2011a)
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