Efficient Frontier using different risk return measures

Code for finding optimal portfolios and plotting efficient frontier for diff. risk return measures

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This code plots efficient frontier and calculates the optimal portfolio based on Mean-variance, mean-semi variance and mean-Value at Risk measures. Only 2 asset can be used with this code. The code loads data from excel file that contains one column for each asset returns (no date). VaR calculated using historical simulation method.

Cite As

Saurabh Yadav (2026). Efficient Frontier using different risk return measures (https://www.mathworks.com/matlabcentral/fileexchange/37925-efficient-frontier-using-different-risk-return-measures), MATLAB Central File Exchange. Retrieved .

Categories

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General Information

MATLAB Release Compatibility

  • Compatible with any release

Platform Compatibility

  • Windows
  • macOS
  • Linux
Version Published Release Notes Action
1.1.0.0

Added comments to the code

1.0.0.0