I need to plot the efficient frontier for minimum variance portfolio. I do not have the function "portopt" How can I do this without it. Thanks

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10/17/2010 3:08:03 AM

On Oct 16, 10:08=A0pm, "Elvis " <emv...@nyu.edu> wrote: > I need to plot the efficient frontier for minimum variance portfolio. =A0= I do not have the function "portopt" =A0How can I do this without it. =A0Th= anks How about something like: R =3D [.04 .07]; Vol =3D [.2 .3]; rho=3D0.5; efficientFrontier(R, Vol, rho) function efficientFrontier(assetReturn, assetVolatility, rho) asset1Weight =3D -10:0.01:10; asset2Weight =3D 1-asset1Weight; Y=3DassetReturn(1).*asset1Weight+assetReturn(2).*asset2Weight; X=3Dsqrt((assetVolatility(1)*asset1Weight).^2+ (assetVolatility(2)*asset2Weight).^2+2*rho*assetVolatility(1)*assetVolatili= ty(2)*asset1Weight*diag(asset2Weight)); plot(X,Y); xlabel('Volatility'); ylabel('Returns'); end

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10/26/2010 8:30:58 PM

Hi to all I have a problem about frontier code. (Its in finance toolbox.) There is nothing written in Help about frontier, I mean there is no example. And I cant find right inputs. It allways give error at line 154 ([Mean,Covar] = ecmnmle(SubData);) SubData cant pass ecmnmle's checks. please help me to find the right inputs, or I am going to think that code is wrong... Ceren ...

Hi, I am using frontcon function to generate Efficient Frontier and would like to plot the same. Can anyone guide me on this? I don't want to use the portopt function. Thanks in advance. ...

Dear all, i am analyzing financial time series data with the help of "Financial Toolbox - Efficient Frontier Demo". I wonder how can i know the weights on efficient frontier line?..because i would like to get the weights on my portfolio holding before constructing GARCH Value at Risk..lets say if on efficient frontier with return 5% and standard deviation 3% consist of 10% S&P 500 35% FTSE 100 and 55% IDX..any ideas how to do that?.. anyone please share with me, thank you. ...

I am analyzing financial data with the help of "Financial Toolbox". Using the function frontcon(returns, coavariance, numberOfPortfolios) you get a plot/graph of the efficient frontier, which is basically a curve/line. It is just an x,y graph with y being return and x being risk/standard deviation. How can I plot multiple efficient frontiers into one graph? Could I also plot single points into the same graph? The single points being ofcourse single assets. Well, I found out how, but it involves clicking and copying and pasting rather than programatically. In the current figure,...

Hi, I?m a beginner using matlab. I would like to illustrate the efficient frontier for 2 portfolios. Each portfolio contains about 100 securities. I just calculated the returns, variances and the covariances (matrix)for the assets. When I use the function "frontcon" for one portfolio, matlab shows the frontier just for the assets. But I would like to illustrate the location for the whole portfolio on the frontier. First, do you now how to calculate the portfolio variance? And second, how to display 2 portfolios on the efficient frontier? Thank you for your help, best regards J?rg ...

the problem i am have is that i have a few hundred assets with time series is 100 period length to plot for, but have so far be unable to do the basic commands for standard dev and correlation and convert it in to covariation as matlab responds with unmatched matrices COULD ANY ONE PLEASE OFFER AN EXAMPLE OF SOME KIND OR POINT ME TO A LINK THANKS "gro" <a_omar101@hotmail.co.uk> wrote in message news:ef4be62.-1@webcrossing.raydaftYaTP... > the problem i am have is that i have a few hundred assets with time > series is 100 period length to plot for, > but have so far...

Hi, I would like to draw a rolling efficient frontier using the matlab syntax [PortWts, AllMean, AllCovariance] = frontier(Universe, Window, Offset, NumPorts, ActiveMap, ConSet, NumNonNan) Please find my preparation: [Sample,B]=xlsread('EfficientFrontier_3.xls'); dates=x2mdate(Sample(:,1)) ts = timeseries(Sample(:,2:7)) Efficient frontier is a 156:7 matrix in excel; first one is date vector. 2:7 are log-returns. Has anyone an idea how to use the following matlab syntax in this context [PortWts, AllMean, AllCovariance] = frontier(Universe, Window, Offset, NumPorts, Ac...

Hello everybody, I need to generate three mean variance efficient frontiers in the some graph; can anybody help me? Thanks ...

Does anyone have code to generate the 'efficient frontier' for a an array of points? This concept is known by a wide variety of names... There is a short overview here: http://math.ut.ee/~toomas_l/optimization/main-text/Ch7/node3.html Any help will be greatly appreciated. -Chess For anyone else that's interested in this topic, I've found a basic solution, which I've posted below. Note also that the performance for this technique can be improved through the use of KD-trees or quadtrees, as discussed in http://tinyurl.com/caz3j % Generate a boolean array K that indica...

Hi, is there anyone that have some reliable tool, package or website that can help me to solve a financial portfolio optimization problem in Python? Many thanks in advance Davide Dalmasso On Thu, Nov 7, 2013 at 12:01 PM, Davide Dalmasso <davide.dalmasso@gmail.com> wrote: > Hi, > is there anyone that have some reliable tool, package or website that can help me to solve a financial portfolio optimization problem in Python? > Many thanks in advance > > Davide Dalmasso > -- > https://mail.python.org/mailman/listinfo/python-list google gives this: htt...

How can I download stock data from the web and find the efficient frontier of the portfolio plus the allocation of each security according to the risk/return profile of each security? Here is a great link for building an optimized portfolio. http://www.mathworks.com/help/finance/portfolio-optimization-examples.html How can I use the downloaded data from the web as a data source? I don’t want to use the ‘BlueChipStockMoments.mat’ file, which is used in that example. Here’s a function to download stock data from the web. function data = getYahooDailyData(tickers, startDate, endDate, d...

I want to select one field from a table,but it should on some conditions which refer to 5 table ,such as A.FILED1=B.FIELD1 AND B.FIELD2=C.FIELD3 AND .... Should I use case "select sum(a.amount) from a,b,c,... where a.field1=b.field1 and b.field2=c.field2 and ..." or "select sum(a.amount) from select b.field1 from select c.field2 from...."?And which case is more efficiency? thanks! �������һ�����е�ĳ���ֶεĺͣ����˼�¼���ڴӶ�����в�ѯ�˼�¼�Ƿ������ض�����������ô������select ..from ...where ..and ..and..and ..and ..������select ..from select ..from select ..from .......

HI all, Which is more efficient i++ or ++i and why is it?? cheers.. * Radde: > Which is more efficient i++ or ++i and why is it?? The FAQ is at <url: http://www.parashift.com/c++-faq-lite/>. -- A: Because it messes up the order in which people normally read text. Q: Why is it such a bad thing? A: Top-posting. Q: What is the most annoying thing on usenet and in e-mail? Alf P. Steinbach wrote: > * Radde: > > Which is more efficient i++ or ++i and why is it?? > > The FAQ is at <url: http://www.parashift.com/c++-faq-lite/>. > and this is the section ...

Dear Matlab users, please help me if possible to make this code more efficient. k =1 for i=1:end if B(i) <= 1 A(k)=B(i); k=k+1; end end The point is how to select data from matrix B when B(i) <=1 without using loop. Is it possible at all? Thank you very much for remarks. Irek Try: A=B(B<=1); Regards, Stefan irek wrote: > > > Dear Matlab users, please help me if possible to make this code > more > efficient. > > k =1 > for i=1:end > if B(i) <= 1 > A(k)=B(i); > k=k+1; > end > end > > The point is how to select da...

Let's say I have a class with few string properties and few integers, and a lot of methods defined for that class. Now if I have hundreds of thousands (or even more) of instances of that class - is it more efficient to remove those methods and make them separate functions, or it doesn't matter? Thanks... -- _______ Karlo Lozovina - Mosor | | |.-----.-----. web: http://www.mosor.net || ICQ#: 10667163 | || _ | _ | Parce mihi domine quia Dalmata sum. |__|_|__||_____|_____| On Feb 19, 2:17 pm, Karlo Lozovina <...

When using slot-value and the same value is used more than once in a form, is it more efficient to use a LET to extract that value (and use the local variable repeatedly) or does it not make a difference? In fact, is using LET ineffient? Or is the difference so slight it doesn't really make a difference in most normal programming? WoodHacker <RamsayW@comcast.net> wrote: > When using slot-value and the same value is used more than once in a > form, is it more efficient to use a LET to extract that value (and use > the local variable repeatedly) or does it not make a...

for a hex conversion, Is it more efficient to do this : Printit is the char whose low order bits represent the nibble to print cout << "0123456789ABCDEF" [ Printit ] ; or : const char hexdigits [17] = "0123456789ABCDEF" ; cout << hexdigits [ Printit ] ; Or doesn't it matter ? Thanks Joe "js" <jb.simon@lmco.com> wrote in message news:bf1rrm$m7n1@cui1.lmms.lmco.com... > for a hex conversion, Is it more efficient to do this : > > Printit is the char whose low order bits represent the nibble to print > > cout <<...

Hi, For the following to snips, which one do you think is more efficient? snip1: BufferedWriter bw = new BufferedWriter(new OutputStreamWriter(System.out)); bw.write("abc" + "def"); snip2: BufferedWriter bw = new BufferedWriter(new OutputStreamWriter(System.out)); bw.write("abc"); bw.write("def"); -- Best regards, Qingjia Zhu Q@z@J metfan wrote: > Hi, > For the following to snips, which one do you think is more efficient? > > snip1: > BufferedWriter bw = new BufferedWriter(new > OutputStreamWriter(System.out)); ...

Hi, Which is efficient? Checking whether the given path for Directory/file using stat or Openinf the path using opendir Thanks, Ganesh Subramanian <sgane2001@yahoo.co.in> wrote in message news:1107413299.147296.302240@g14g2000cwa.googlegroups.com... > Which is efficient? > Checking whether the given path for Directory/file using stat or > Openinf the path using opendir 1) There probably won't be much of a difference (same work to do internally). 2) It will depend on the platform you are developing on 3) This is not a C++ question 4) This question does not belong to this...

I have the following two implementation techniques in mind. def myfunc(mystring): check = "hello, there " + mystring + "!!!" print check OR structure = ["hello, there",,"!!!"] def myfunc(mystring): structure[2] = mystring output = ''.join(mystring) i heard that string concatenation is very slow in python; so should i go for the second approach? could someone tell me why? Would there be another 'best-practice-style'? Please help. Thankx in advance! cheers!!! Zubin On 12/22/09 7:13 AM, Zubin Mithra ...

Hi This is the code DO J1=1,SS DO I1=1,TT DO ISUMT3=1,MA SUMGMT(I1,J1,ISUMT3)=0.0 END DO END DO END DO i can write the following code in FORTRAN 90 as SUMGMT(1:TT,1:SS,1:ISUMT3) = 0.0 now my question is which one is the efficeint way to do it? I think i know the answer, the second way is more efficient. Am i right ? And if yes how do i prove it? How can i prove this with this simple code that the second one is efficient ? regards aeroguy wrote: > This is the code > > DO J1=1,SS > DO I1=1,TT > DO ISUMT3=1,MA > ...

float fMax=0, faArray[16], fValue; int i; for (i=0; i<16; ++i) if ((faArray[i]-fValue)>fMax) fMax=faArray[i]-fValue; OR float fMax=0, faArray[16], fValue, fTemp; int i; for (i=0; i<16; ++i) if ((fTemp=faArray[i]-fValue)>fMax) fMax=fTemp; In the former case I am doing a subtraction twice but only if the condition is true. In the latter case, I am writing the difference into a variable that may not be used, depending on the condition. Many thanks in advance, Peter. PeterOut wrote: ) <snip: which is more efficient> ) In the form...

Hi anyone know where I can find out the efficiency of various addressing modes and the efficiecy of the interrupt system. I'm a second year computing student and have been asked to compare a c515 and pic16C64, but i've got a little stuck on these two points Many Thanks Simon schrieb: > Hi > anyone know where I can find out the efficiency of various addressing modes > and the efficiecy of the interrupt system. I'm a second year computing > student and have been asked to compare a c515 and pic16C64, but i've got a > little stuck on these two points > Hi, ...

Hi, all, I'm a programmer (Windows) and now I'm very efficient on coding in Windows style editors like Delphi IDE or other editors. But sometimes I feel dull to do some repeating work such like add a continuous number before each line, remove some pattern text from each line. I think VIM maybe more effective in that area. I have been using VIM now and then for some days, but I've only known the very basically command such like i, dd, o, etc. I think it will take me long time to master VIM. My question is, is it worth for me to try to use VIM instead of other edi...