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MATLAB CentralFile Exchange > Financial Modeling and Analysis > Using MATLAB to Develop Portfolio Optimization Models
 Using MATLAB to Develop Portfolio Optimization Models   
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 What is this?
  Author: Bob Taylor
  Summary: Scripts to create time-evolving efficient frontiers and to backtest results.
  MATLAB Release: R14SP2
  Required Products: Financial Toolbox,Optimization Toolbox
  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.
   

File Details  
 
  File Id: 8591 Average rating: 4.75
  Size: 195 KB # of reviews: 9
  Submitted: 2005-09-29 Downloads: 8877
  Subscribers: 8  
  Keywords: finance, portfolio, optimization
   
  Zip file contents: BCSbacktest2.m, BCSbacktest.m, BCSdrawdown.m, BCSestimate.m, BCSfrontier.m, BCSportfolio.m, BCSturnover.m, BCSwebinar.m, BlueChipStocks.mat, readme.txt, DJIAestimate.m, ecmninit.m, ecmnmle.m, ecmnobj.m, maxdrawdown.m, BlueChipStocksR13.mat


User Reviews
Number of Reviews: 9
Date: 2007-05-13
From: jibendu mantri (jibendu_kumantri@yahoo.co.in)
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Comments: exleent
Date: 2007-01-19
From: amir shafiee (amir_s2k3@yahoo.com)
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Date: 2006-11-08
From: jose vega
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Changes  
 
2006-01-30 Updating files.
2006-01-30 Updating files.
2006-01-27 Added an older raw data file - BlueChipStocksR13.mat - that should work with some older versions of MATLAB. See readme.txt for instructions.
 

 
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