efficient frontier

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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
0
Reply Elvis 10/17/2010 3:08:03 AM

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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
0
Reply boost 10/26/2010 8:30:58 PM
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