Using MATLAB to Develop Portfolio Optimization Models by Bob Taylor

Scripts to create time-evolving efficient frontiers and to backtest results. (analysis, portfolio, optimization)

[DateHistory, RetHistory, PortHistory, X, Y, Z ] ...

ecmninit(Data, InitMethod)

ecmnmle(Data, InitMethod, MaxIter, Tolerance, Mean0, Covar0...

DEA Solver light by Alvimar Lucena

Educational solver to DEA. (data envelopment anal..., linear programming, optimization)

DEACRSEI(X,Y);

DEACRSEO(X,Y);

DEACRSMI(X,Y);