Portfolio Optimization

Demonstration based on an example from Modern Portfolio Theory (by Harry Markovitz)

Written by Marcin Krzysztofik. June 2010.

It uses the following m-files:

frontier.m — calculates the efficient frontier for given assets;

get_extreme_returns.m — finds maximum/minimum attainable returns for given assets. Uses NAG e04nc optimizer, set to solve a LP (linear programming) problem;

opt_data.m holds — the input data for optimization;

optimize.m — finds minimum risk portfolio for a given return, using NAG e04nc optimizer, set to solve a convex QP (quadratic programming) problem.