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Highlights from
Using MATLAB to Develop Portfolio Optimization Models

[DateHistory, RetHistory, Por... DJIAestimate BlueChipStock estimation and analysis for DJIA period
ecmninit(Data, InitMethod) ECMNINIT Calculate initial mean and covariance for ECMNMLE.
ecmnmle(Data, InitMethod, Max... ECMNMLE Estimate mean and covariance of incomplete multivariate normal data.
ecmnobj(Data, Mean, Covar, Ch... ECMNOBJ Evaluate negative log-likelihood function for ECMNMLE.
maxdrawdown(Data) MAXDRAWDOWN Calculate maximum drawdown for one or more total return price series
BCSbacktest.m
BCSbacktest2.m
BCSdrawdown.m
BCSestimate.m
BCSfrontier.m
BCSportfolio.m
BCSturnover.m
BCSwebinar.m
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Using MATLAB to Develop Portfolio Optimization Models

by Bob Taylor

29 Sep 2005 (Updated 30 Jan 2006)

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

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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)

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Everyone's Tags	analysis(5), dea(2), finance, modeling(2), optimization(4), portfolio(4)
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Comments and Ratings (13)
14 Mar 2013	Nitin CFA	I'm facing the same issue. I'm unable load the main file. Is it compatible with R2011a? any solutions?
06 Mar 2013	Chen	Thanks
14 Jan 2010	Habibi Moncef	Any one explain me How the "Map" is constructed. Cheers
14 Jan 2010	Divakar	Hi I have downloaded the files and tried running it. I am not able to understand how the mat files are formed. they seem to be shortcuts, hence i cannot open them, but when i ran the BCSestimate then i could see a mat file and also after placing the break points i was able to view the fields. But what exactly is the asset matrix and how is it formed.Please clarify Thanks divakar
13 May 2007	jibendu mantri	exleent
19 Jan 2007	amir shafiee
08 Nov 2006	Jose Vega
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
10 Nov 2005	Moomin Troll	Perhaps BlueChipStocks.mat does not work for R13?
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
04 Oct 2005	Daniil Wagner	Follow the instructions in the readme and everything will work.
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?

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.

Highlights from Using MATLAB to Develop Portfolio Optimization Models

Using MATLAB to Develop Portfolio Optimization Models

Highlights from
Using MATLAB to Develop Portfolio Optimization Models