Find weights of a portfolio given variance and covariance matrix

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DrLoz 2018-10-17

I'm not sure how to back out the weights of a portfolio given the covariance matrix of the assets and variance of the portfolio using matlab.

I have the following inputs:

ExpCov_csFX = cov(csAssetReturns(t-59:t,2:7))*12;

I want to find the weights:

w0_cs = zeros(size(ExpFXret_cs_t'));

Which give me the portfolio variance:

targetVar_cs

Thanks!

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R2015a

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