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Subject: Re: how to to use the Optimization Toolbox to optimize a portfolio of stocks?
Date: Tue, 23 Oct 2012 03:25:08 +0000 (UTC)
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Thanks, Seth!

I love this link.  
http://www.mathworks.com/videos/getting-started-with-portfolio-optimization-68762.html

I followed the setup, and re-typed all of the code.  I seem to be missing something though.  It seems like the instructor skips around a bit; I think I have incomplete code.  Do you know if I can download the code samples form the site?  

Also, I’ve seen samples of this book online:
http://www.amazon.com/Simulation-Optimization-Finance-Website-Modeling/dp/0470371897

It seems like it is an excellent resource!!  I was hoping to find a PDF version of that book.  Do you know where I can get a PDF copy?

Thanks, again!!


"Seth Deland" <sdeland@mathworks.com> wrote in message <k515vo$m1b$1@newscl01ah.mathworks.com>...
> Here's an example that goes a little more into the details of how to use 
> quadprog (quadratic programming solver from Optimization Toolbox) to solve a 
> portfolio optimization problem:
> http://www.mathworks.com/help/optim/examples/using-quadratic-programming-on-portfolio-optimization-problems.html?prodcode=OP&language=en
> 
> As Phil mentioned, the Financial Toolbox has a lot of really nice built-in 
> portfolio optimization capabilities that let you incorporate some more 
> complicated portfolio optimization techniques like including transaction 
> costs, group constraints, and turnover constraints.  There's a video for 
> getting started with Portfolio Optimization with Financial Toolbox here:
> http://www.mathworks.com/videos/getting-started-with-portfolio-optimization-68762.html
> 
> If you're looking to get deeper into the theory of portfolio optimization, I 
> recommend the "Simulation and Optimization in Finance" book.  It has a lot 
> of really nice examples, and includes MATLAB code so you can apply the 
> theory as you learn it:
> http://www.amazon.com/Simulation-Optimization-Finance-Website-Modeling/dp/0470371897
> 
> 
> 
> 
> "Ryan " <ryanshuell@gmail.com> wrote in message 
> news:k4vvsl$fre$1@newscl01ah.mathworks.com...
> > Yeah, I'm sure it's not hard, so long as you know what to do.  If you know 
> > of such a thing, can you post a link that describes how to maximize 
> > returns, and/or minimize risk, by adding certain stocks to the portfolio, 
> > or deleting certain stocks from the portfolio.  If you don't know of a 
> > tutorial, but you know that steps, please post here so I can learn the 
> > nuts and bolts of this process.
> >
> > Thanks!!!
> >
> > "Ryan" wrote in message <k4v9ak$qrq$1@newscl01ah.mathworks.com>...
> >> Im trying to figure out how to to use the Optimization Toolbox to 
> >> optimize a portfolio of stocks, lets say the Dow30, based on the returns 
> >> (1 year historical) and risks (stdev).  This is quite easy to do in 
> >> Excel, using Solver, and it is quite easy to do in Crystal Ball, using 
> >> OptQuest.  Im not making a whole lot of progress here, trying to figure 
> >> out how to do basically the same thing using Matlab.
> >>
> >> I found this:
> >> http://www.mathworks.com/help/finance/working-with-portfolio-constraints_bswwmte.html#bswwlk3-1
> >>
> >> At a quick glance, I thought that would be helpful.  I'm still not 
> >> getting it.
> >>
> >>
> >> Any ideas, anyone?