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Dec 4

Mean-variance portfolio optimization

Posted by abiao at 21:52 | Code » Matlab | Comments(1) | Reads(12753)
We seek to try out ga and patternsearch functions of the Genetic Algorithm and Direct Search Toolbox. We consider the unconstrained mean-variance portfolio optimization problem, handled by portopt and portalloc of the Financial Toolbox - note that in absence of constraints other than sum(w) = 1, the problem admits a simple closed-form analytic solution - and see whether ga and patternsearch succeed at locating the optimal portfolio identified by portalloc.


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