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Using MATLAB to Develop Portfolio Optimization Models

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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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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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Comments and Ratings (11)
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
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
14 Jan 2010 Habibi Moncef

Any one explain me How the "Map" is constructed. Cheers
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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
optimization Bob Taylor 22 Oct 2008 08:01:11
portfolio 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
optimization Zhengyu 20 Jan 2010 02:37:26
modeling Ertugrul 11 Apr 2010 19:07:58
analysis Sophia zaanoun 01 Sep 2010 16:22:45
portfolio Oliver 10 Nov 2010 09:03:42
analysis Amr 02 Nov 2011 12:31:57
optimization James 21 Dec 2011 00:08:42

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