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Dec
4
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.
Aug
21
The efficient frontier was initiative specified by Markowitz in his innovative report . The theory deals an amounts of risky products and searches an optimal portfolio based on those possible investments.
Given a time interval, we could impute expected returns and volatilities. We could also specify a correlation of returns. The "optimal" portfolio can be formed in two methods:
first: for a certain level of volatility, count all portfolios that equal this volatility. amongst them all, choose the one with highest expected return.
second: for a given expected return, count all portfolios having this expected return. Choose the one which has the lowest volatility.
often numerical calculation is applied for optimization as we have additional constraints on the optimal portfolio, for instance, weight limits, etc. below is an Excel file demonstrating many assets Efficient Portfolio can be generated.
Given a time interval, we could impute expected returns and volatilities. We could also specify a correlation of returns. The "optimal" portfolio can be formed in two methods:
first: for a certain level of volatility, count all portfolios that equal this volatility. amongst them all, choose the one with highest expected return.
second: for a given expected return, count all portfolios having this expected return. Choose the one which has the lowest volatility.
often numerical calculation is applied for optimization as we have additional constraints on the optimal portfolio, for instance, weight limits, etc. below is an Excel file demonstrating many assets Efficient Portfolio can be generated.
