Comments on: Mean Variance Optimization with Matlab http://luminouslogic.com/mean-variance-optimization-with-matlab.htm Stock-picking is an art. I have sympathy for all who attempt it. Thu, 24 May 2012 06:06:43 +0000 hourly 1 http://wordpress.org/?v=3.3.2 By: Nora http://luminouslogic.com/mean-variance-optimization-with-matlab.htm/comment-page-1#comment-3043 Nora Sun, 26 Feb 2012 15:04:35 +0000 http://luminouslogic.com/?p=2469#comment-3043 That indeed does help a lot! I'll try when I have time, thanks for your support! Love, Nora That indeed does help a lot!

I’ll try when I have time, thanks for your support!

Love,
Nora

]]> By: Lumilog http://luminouslogic.com/mean-variance-optimization-with-matlab.htm/comment-page-1#comment-3036 Lumilog Sun, 19 Feb 2012 21:00:29 +0000 http://luminouslogic.com/?p=2469#comment-3036 hi nora, you only need to do 2 things. add the new row of returns under line 15 and then give the new asset class a name on the line under that. for example, under line 15, I'll add some random data (you would enter the asset class returns) like so: rors(4,:) = rand(size(rors(3,:))); And then on the asset class line, I added an extra entry to give it a name like so: asset_classes = {'S&P 500 Index', 'Barclays US Aggregate Bond Index', 'Pacific Rim Index', 'Sample Asset Class'}; Hope that helps! hi nora,

you only need to do 2 things. add the new row of returns under line 15 and then give the new asset class a name on the line under that.

for example, under line 15, I’ll add some random data (you would enter the asset class returns) like so:
rors(4,:) = rand(size(rors(3,:)));

And then on the asset class line, I added an extra entry to give it a name like so:
asset_classes = {‘S&P 500 Index’, ‘Barclays US Aggregate Bond Index’, ‘Pacific Rim Index’, ‘Sample Asset Class’};

Hope that helps!

]]> By: Nora http://luminouslogic.com/mean-variance-optimization-with-matlab.htm/comment-page-1#comment-3029 Nora Thu, 16 Feb 2012 18:35:08 +0000 http://luminouslogic.com/?p=2469#comment-3029 Hi Lumi, I'm currently playing around with your MPT code. So I tried to enlarge the sample you have by adding another Index. Turns out that it's not as easy as one might think... Can you please tell me where I do have to change the code so that the code works for more asset classes as well? Cheers & thanks a lot, Nora Hi Lumi,
I’m currently playing around with your MPT code. So I tried to enlarge the sample you have by adding another Index. Turns out that it’s not as easy as one might think… Can you please tell me where I do have to change the code so that the code works for more asset classes as well?

Cheers & thanks a lot,
Nora

]]> By: mathieuchamel | Pearltrees http://luminouslogic.com/mean-variance-optimization-with-matlab.htm/comment-page-1#comment-2984 mathieuchamel | Pearltrees Thu, 29 Dec 2011 22:03:16 +0000 http://luminouslogic.com/?p=2469#comment-2984 [...] Mean Variance Optimization and Modern Portfolio Theory with Matlab | Luminous Logic [...] [...] Mean Variance Optimization and Modern Portfolio Theory with Matlab | Luminous Logic [...]

]]> By: matt http://luminouslogic.com/mean-variance-optimization-with-matlab.htm/comment-page-1#comment-2656 matt Sun, 20 Mar 2011 10:46:28 +0000 http://luminouslogic.com/?p=2469#comment-2656 you have two constraint equations. i.e. the weights sum to one and the return fractions sum to the expected portfolio return. you could remove the return equation and replace it with beta fractions summing to the portfolio beta .... then the weights aren't dependent on the estimated equity returns and the portfolio remains balanced. good luck on the tests man you have two constraint equations. i.e. the weights sum to one and the return fractions sum to the expected portfolio return. you could remove the return equation and replace it with beta fractions summing to the portfolio beta …. then the weights aren’t dependent on the estimated equity returns and the portfolio remains balanced.

good luck on the tests man

]]> By: Lumilog http://luminouslogic.com/mean-variance-optimization-with-matlab.htm/comment-page-1#comment-2425 Lumilog Sun, 02 May 2010 22:42:57 +0000 http://luminouslogic.com/?p=2469#comment-2425 Chuck - thanks so much for writing and glad it was insightful. Good luck in your studies! - lumi Chuck – thanks so much for writing and glad it was insightful. Good luck in your studies! – lumi

]]> By: Chuck http://luminouslogic.com/mean-variance-optimization-with-matlab.htm/comment-page-1#comment-2423 Chuck Sun, 02 May 2010 21:37:44 +0000 http://luminouslogic.com/?p=2469#comment-2423 Hi ! I am just writing in order to thank you for your blog. I am currently studying the MVP theory and your blog as well as your m file helped me a lot in understanding the outcomings of this theory. Hi !

I am just writing in order to thank you for your blog. I am currently studying the MVP theory and your blog as well as your m file helped me a lot in understanding the outcomings of this theory.

]]> By: Lumilog http://luminouslogic.com/mean-variance-optimization-with-matlab.htm/comment-page-1#comment-2412 Lumilog Mon, 22 Mar 2010 18:05:30 +0000 http://luminouslogic.com/?p=2469#comment-2412 Hi Wenger - thanks so much for taking the time to write. So glad you enjoyed the Level One posts - I wish my current workload didn't preclude me from putting the same time & effort into blogging about Level Two. Funny that we're both DSP guys. I always thought that after a few months studying the stock market, I'd be making a killing using something fancy like neural networks or wavelet transforms over historical price data to identify and exploit inefficiencies. But as Einstein said, not everything that counts can be counted and not everything that can be counted counts. So I find myself in the CFA program and reading 10-K's and 10-Q's! Your blog looks great and I'm adding you to my list of links. Wishing you lots of luck for Level 2 - let us know how you did come August. -lumi Hi Wenger – thanks so much for taking the time to write. So glad you enjoyed the Level One posts – I wish my current workload didn’t preclude me from putting the same time & effort into blogging about Level Two.

Funny that we’re both DSP guys. I always thought that after a few months studying the stock market, I’d be making a killing using something fancy like neural networks or wavelet transforms over historical price data to identify and exploit inefficiencies. But as Einstein said, not everything that counts can be counted and not everything that can be counted counts. So I find myself in the CFA program and reading 10-K’s and 10-Q’s!

Your blog looks great and I’m adding you to my list of links. Wishing you lots of luck for Level 2 – let us know how you did come August.

-lumi

]]> By: Wenger J Khairy http://luminouslogic.com/mean-variance-optimization-with-matlab.htm/comment-page-1#comment-2411 Wenger J Khairy Mon, 22 Mar 2010 05:55:47 +0000 http://luminouslogic.com/?p=2469#comment-2411 Sencha71 (? is that your name), I've been following your blog for about a year plus. The peach of the posting was your travails for Level I, I read it out to my mom and she was burst out laughing. (Flunked L1 on first time, got it right the 2nd time, am with u on this L2 June 2010). By the way, I would also include myself as having some DSP scars of wars. Mine was the TI 6200 and later on the SHARC bits from AD. Some fond memories remembering the SHARC, if memory serves me right (quote from Chairman Kaga in Iron Chef), I remember setting up two DAG counters and using them to get the memory address for the data bits. Well it was a long time - 2001-2002. And so I find myself in the same boat with you. Ex DSP (embedded variant) and now CFA wannabe. Right now, I've fully dissolved myself from the engineering side, I do a bit of political blogging for some up coming Senators (sort of) guys in Malaysia and I use CFA material all the time to kick ass. Just a note to tell you best of luck, and if you ever find the time, do drop by at mine. Some of the postings is in my national language, but some are in English too. Cheers Wenger J. Khairy Cybertrooper Sencha71 (? is that your name),
I’ve been following your blog for about a year plus. The peach of the posting was your travails for Level I, I read it out to my mom and she was burst out laughing. (Flunked L1 on first time, got it right the 2nd time, am with u on this L2 June 2010).

By the way, I would also include myself as having some DSP scars of wars. Mine was the TI 6200 and later on the SHARC bits from AD. Some fond memories remembering the SHARC, if memory serves me right (quote from Chairman Kaga in Iron Chef), I remember setting up two DAG counters and using them to get the memory address for the data bits. Well it was a long time – 2001-2002.

And so I find myself in the same boat with you. Ex DSP (embedded variant) and now CFA wannabe. Right now, I’ve fully dissolved myself from the engineering side, I do a bit of political blogging for some up coming Senators (sort of) guys in Malaysia and I use CFA material all the time to kick ass.

Just a note to tell you best of luck, and if you ever find the time, do drop by at mine. Some of the postings is in my national language, but some are in English too.

Cheers

Wenger J. Khairy
Cybertrooper

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