Quantitative finance collector
Dec 4

Mean-variance portfolio optimization

Posted by abiao at 21:52 | Code » Matlab | Comments(0) | Reads(6674)

Print
Quotation
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.


http://www.mathworks.com/matlabcentral/fileexchange/16884


Unclear about this post? Asking questions and receiving answers.
Add a comment
Emots
Enable HTML
Enable UBB
Enable Emots
Hidden
Remember
Nickname   Password   Optional
Site URI   Email   [Register]