portfolio_sortino_r​atio

Optimize portfolio weights for a weighted linear combination of Sortino ratio, Sharpe ratio, total return, downside risk, SD, & max drawdown

https://github.com/elayden/portfolio_sortino_ratio

Version 1.0.1 (834 KB)
235 Downloads
(1)
21 Aug 2018
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  • Install in MATLAB

    Requires R2026b and later. Learn more
Download

  • Install in MATLAB

    Requires R2026b and later. Learn more

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Cite As

Elliot Layden (2026). portfolio_sortino_ratio (https://github.com/elayden/portfolio_sortino_ratio), GitHub. Retrieved .

Acknowledgements

Inspired by: Click3dPoint, Random Vectors with Fixed Sum

Categories

Find more on Financial Data Analytics in Help Center and MATLAB Answers

General Information

MATLAB Release Compatibility

  • Compatible with R2014b and later releases

Platform Compatibility

  • Windows
  • macOS
  • Linux
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Version Published Release Notes
1.0.1

-added photo
Download

  • Install in MATLAB

    Requires R2026b and later. Learn more
To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.