Markowitz Efficient Frontier
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 .
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Version | Published | Release Notes | |
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1.0.0.0 |