matlab实现开发投资组合优化模型

收录时间:2021-12-01
资源分类:Matlab 工具:MATLAB 7.3 (R2006b)

matlab实现开发投资组合优化模型

Developing Portfolio Optimization Models

"Portfolio optimization was first developed in the 1950s, but a number of practical and theoretical problems have limited its use by investment managers. For example, it is often difficult to obtain sufficient high-quality historical data for thorough analysis. In addition, the efficient frontier where optimal portfolios lie tends to shift over time, quickly making these portfolios suboptimal.

 

Modern data analysis tools, such as MATLAB and Financial Toolbox, can overcome these challenges.

 

Using the Dow Jones Industrial Average as a benchmark, we will implement a portfolio optimization methodology based on capital asset pricing and mean-variance analysis. Our goals are to use consistent, repeatable steps and to construct realistic, optimal portfolios that are stable over time....."

 

By Bob Taylor. The MathWorks

 

This article appeared in The MathWorks News & Notes, October 2006, which you can read at http://www.mathworks.com/company/newsletters/

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