Markowitz Efficient Frontier

Calculates the Markowitz Efficient Frontier
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Updated 16 Oct 2012

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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);

Cite As

Luca Beldi (2024). Markowitz Efficient Frontier (https://www.mathworks.com/matlabcentral/fileexchange/38624-markowitz-efficient-frontier), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2011a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.0.0