How to derive efficient frontier by maximizing the utility function?

9 次查看（过去 30 天）
Dennis Göbel
Dennis Göbel 2020-2-20
Hey,
I want derive the efficient frontier according to the mean varaince framework by maximizing the utility function U = w'R - (a/2) * w'Cw, where w is the weight vector, R the vector of expected return of the assets, a the risk aversion coefficient and C the covariance matirx of returns. Furthermore it should be maximized with respect to the weigths summing up to 1 and non negative w. Basically I should maximize the problem for different levels of "a" in order to obtain the frontier. My problem is that I don't know how to do this. I tried to use fmincon for -U, but the results weren't correct. Does anybody has an idea how derive the frontier in this way or which optimization function I should use? Thank you!

请先登录，再回答此问题。

回答（0 个）

类别

在 Help Center 和 File Exchange 中查找有关 Portfolio Optimization and Asset Allocation 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by