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Using MATLAB to Develop Portfolio Optimization Models

version 1.0.0.1 (196 KB) by Bob Taylor
Scripts to create time-evolving efficient frontiers and to backtest results.

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Updated 01 Sep 2016

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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.

Cite As

Bob Taylor (2021). Using MATLAB to Develop Portfolio Optimization Models (https://www.mathworks.com/matlabcentral/fileexchange/8591-using-matlab-to-develop-portfolio-optimization-models), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (16)

Weidong Lin

Many thanks for the codes.

Xincheng Liu

ooo

ss

Nitin CFA

I'm facing the same issue. I'm unable load the main file. Is it compatible with R2011a? any solutions?

Chen

Thanks

Habibi Moncef

Any one explain me How the "Map" is constructed. Cheers

Divakar

Hi
I have downloaded the files and tried running it.
I am not able to understand how the mat files are formed. they seem to be shortcuts, hence i cannot open them, but when i ran the BCSestimate then i could see a mat file and also after placing the break points i was able to view the fields. But what exactly is the asset matrix and how is it formed.Please clarify

Thanks
divakar

jibendu mantri

exleent

amir shafiee

Jose Vega

teguh pujiatmoko

Hello
I'am pujiatmoko from gadjah mada university
Idownload yours matlab to develop portfolio optimization model to work my thesis.
Thanks a lot for your help

teguh pujiatmoko

Hello
I'am pujiatmoko from gadjah mada university
Idownload yours matlab to develop portfolio optimization model to work my thesis.
Thanks a lot for your help

Moomin Troll

Perhaps BlueChipStocks.mat does not work for R13?

Moomin Troll

I have the same problem for BlueChipStocks.mat also. This file is not loaded properly so the creation of the two other *.mat files simply cannot be performed. The Readme file does not address this issue

Daniil Wagner

Follow the instructions in the readme and everything will work.

Magdalena Kinal

The file BlueChipStocks.mat cannot be loaded. The error massage is: File may be corrupt. What does it mean? Is it possible to use that file at all? If not, is it neccesary to have the same dimension as the origin file?

MATLAB Release Compatibility
Created with R14SP2
Compatible with any release
Platform Compatibility
Windows macOS Linux

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