4.8 | 4 ratings Rate this file 134 downloads (last 30 days) File Size: 197.1 KB File ID: #8591

Using MATLAB to Develop Portfolio Optimization Models

29 Sep 2005 (Updated 30 Jan 2006)

Scripts to create time-evolving efficient frontiers and to backtest results.

File Information
Description	A .zip file contains a series of scripts that were used in the MathWorks webinar "Using MATLAB to Develop Portfolio Optimization Models." The scripts generate 3D efficient frontiers for a universe of 44 stocks with time as the third axis. Additional scripts perform various ex-ante and ex-post analyses. Results are generated with and without market adjustments in the data. A readme.txt. file in the .zip folder describes each script and how to use it.
Required Products	Financial Toolbox Optimization Toolbox
MATLAB release	MATLAB 7.0.4 (R14SP2)
Zip File Content
Other Files	BCSbacktest2.m, BCSbacktest.m, BCSdrawdown.m, BCSestimate.m, BCSfrontier.m, BCSportfolio.m, BCSturnover.m, BCSwebinar.m, BlueChipStocks.mat, readme.txt, source/DJIAestimate.m, source/ecmninit.m, source/ecmnmle.m, source/ecmnobj.m, source/maxdrawdown.m, BlueChipStocksR13.mat

Tags for This File
Everyone's Tags	analysis(2), dea(2), finance, modeling, optimization, portfolio(2)
Tags I've Applied
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Comments and Ratings (9)
03 Oct 2005	Magdalena Kinal	The file BlueChipStocks.mat cannot be loaded. The error massage is: File may be corrupt. What does it mean? Is it possible to use that file at all? If not, is it neccesary to have the same dimension as the origin file?
04 Oct 2005	Daniil Wagner	Follow the instructions in the readme and everything will work.
10 Nov 2005	Moomin Troll	I have the same problem for BlueChipStocks.mat also. This file is not loaded properly so the creation of the two other *.mat files simply cannot be performed. The Readme file does not address this issue
10 Nov 2005	Moomin Troll	Perhaps BlueChipStocks.mat does not work for R13?
11 Sep 2006	teguh pujiatmoko	Hello I'am pujiatmoko from gadjah mada university Idownload yours matlab to develop portfolio optimization model to work my thesis. Thanks a lot for your help
11 Sep 2006	teguh pujiatmoko	Hello I'am pujiatmoko from gadjah mada university Idownload yours matlab to develop portfolio optimization model to work my thesis. Thanks a lot for your help
08 Nov 2006	Jose Vega
19 Jan 2007	amir shafiee
13 May 2007	jibendu mantri	exleent

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Updates
30 Jan 2006	Added an older raw data file - BlueChipStocksR13.mat - that should work with some older versions of MATLAB. See readme.txt for instructions.
30 Jan 2006	Updating files.
30 Jan 2006	Updating files.

Tag Activity for this File
Tag	Applied By	Date/Time
finance	Bob Taylor	22 Oct 2008 08:01:11
modeling	Bob Taylor	22 Oct 2008 08:01:11
analysis	Bob Taylor	22 Oct 2008 08:01:11
portfolio	Bob Taylor	22 Oct 2008 08:01:11
optimization	Bob Taylor	22 Oct 2008 08:01:11
dea	Diego Prior	20 Feb 2009 18:53:03
analysis	Ming	06 May 2009 11:00:11
dea	stat	25 May 2009 18:08:15
portfolio	mei	23 Nov 2009 11:07:56

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