Using MATLAB to Develop Portfolio Optimization Models: BCSfrontier.m - File Exchange

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Highlights from
Using MATLAB to Develop Portfolio Optimization Models

[DateHistory, RetHistory, Por... DJIAestimate BlueChipStock estimation and analysis for DJIA period
ecmninit(Data, InitMethod) ECMNINIT Calculate initial mean and covariance for ECMNMLE.
ecmnmle(Data, InitMethod, Max... ECMNMLE Estimate mean and covariance of incomplete multivariate normal data.
ecmnobj(Data, Mean, Covar, Ch... ECMNOBJ Evaluate negative log-likelihood function for ECMNMLE.
maxdrawdown(Data) MAXDRAWDOWN Calculate maximum drawdown for one or more total return price series
BCSbacktest.m
BCSbacktest2.m
BCSdrawdown.m
BCSestimate.m
BCSfrontier.m
BCSportfolio.m
BCSturnover.m
BCSwebinar.m
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from Using MATLAB to Develop Portfolio Optimization Models by Bob Taylor
Scripts to create time-evolving efficient frontiers and to backtest results.

BCSfrontier.m

%BCSFRONTIER BlueChipStock rolling efficient frontiers

addpath ./source

load BlueChipBacktest0
load BlueChipBacktest

% Plot 3D efficient frontiers

figure(1);
surf(X0,Y0,Z0,'FaceColor','interp','EdgeColor','none','FaceLighting','phong');
ylabel('\bfStd.Dev. of Returns');
zlabel('\bfMean of Returns');
title('\bfRolling Efficient Frontiers (Absolute Total Return)');
camlight right;
view(30,30);

i = input('Continue >');

figure(1);
surf(X,Y,Z,'FaceColor','interp','EdgeColor','none','FaceLighting','phong');
ylabel('\bfStd.Dev. of Returns');
zlabel('\bfMean of Returns');
title('\bfRolling Efficient Frontiers (Relative Total Return vs DJIA)');
camlight right;
view(30,30);

Highlights from Using MATLAB to Develop Portfolio Optimization Models

Highlights from
Using MATLAB to Develop Portfolio Optimization Models