mean-MAD portfolio optimization model

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Egor Smelov 2011-8-24

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https://ww2.mathworks.cn/matlabcentral/answers/14443-mean-mad-portfolio-optimization-model

Hello!

Not so long ago I became interested in investment portfolio selection theory. I've found several interesting papers where different portfolio models are discribed: http://bura.brunel.ac.uk/bitstream/2438/3879/1/Fulltext.pdf (page 8) and http://etd.lib.clemson.edu/documents/1219848541/umi-clemson-1697.pdf (page 32). Paper's authors used MATLAB to make experiments. But I can't understand how I can reproduce their experiments using MATLAB's Optimization Toolbox. Could you help me with that problem?

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Answer 1

Stuart Kozola 2011-8-24

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https://ww2.mathworks.cn/matlabcentral/answers/14443-mean-mad-portfolio-optimization-model#answer_19620

Here is an example on how to set up a standard mean-variance portfolio problem using Optimization Toolbox:

http://www.mathworks.com/products/optimization/demos.html?file=/products/demos/shipping/optim/portfoptimdemo.html

The problems in the papers are extension that you will need to code yourself. You can also look at Bob's webinar that show how to customize the solvers in Financial Toolbox for different portfolio optimization problems:

Using MATLAB to Optimize Portfolios with Financial Toolbox (<http://www.mathworks.com/wbnr56301)>.

If you still get stuck after looking at these resources, you can take online training to build out the necessary skills:

http://www.mathworks.com/services/training/elearning/courses/MLFO_3.html

http://www.mathworks.com/services/training/elearning/courses/MLOP_3.html