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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 .
General Information
- Version 1.1.0.0 (627 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
