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Using MATLAB to Develop Portfolio Optimization Models

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Using MATLAB to Develop Portfolio Optimization Models

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29 Sep 2005 (Updated )

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

BCSwebinar.m
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%	Using MATLAB to Develop Portfolio Optimization Models
%	Robert Taylor
%	29 September 2005
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%	The MathWorks, Inc.
%	3 Apple Hill Drive
%	Natick, MA, 01760
%
%	www.mathworks.com
%

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%	Examine asset return data and other inputs for analysis
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load BlueChipStocks

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%	Estimate optimized portfolios over time for BlueChipStocks versus DJIA
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BCSestimate

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%	Examine time-evolution of efficient frontiers
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BCSfrontier

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%	Examine turnover of portfolio sequences along efficient frontiers
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BCSturnover

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%	Examine portfolio holding of portfolio sequences along efficient frontiers
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BCSportfolio

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%	Examine backtest results in terms of risk and return
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BCSbacktest

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%	Examine maximum drawdown for a portfolio sequence along efficient frontiers
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BCSdrawdown

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%	Examine backtest results in terms of capital growth
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BCSbacktest2

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