Hello to everyone I am trying to implement a version of MV optimization with constraints as UB and LB, it seems to work fine but now i was trying to figure out a simple way to derive a CML in the same fashion.
Here it is my code so far. I am looking for some hints on how to practically implement it.
%% GMV in a LO portfolio AGMV = [UNO'] BGMV =  [WGMVLO(:,1), VARGMV] = quadprog(SIGMA,,,,AGMV,BGMV,LBLO,UBLO,,opts) MUGMV = MU*WGMVLO(:,1) STDGMV = sqrt(2*VARGMV) plot(STDLO,MULO,MINSTD,Er,STDGMV,MUGMV,'*') %%NEW CODE Tangency portfolio %%Starting with the new assumptions of LO portfolio, it seems reasonable in %%order to find a new measure of benchmark, the most efficient considering %%the Rf ERCML = linspace(Rf,max(MULO)-0.05,N); MUCML(:,1) = MU'-Rf.*UNO; ACML = [MUCML'] WCML0=zeros(1,N) for i=1:N BCML = [ERCML(1,i)] [WCMLO(i), VARCML] = quadprog(SIGMA,,,,ACML,BCML,LBLO,UBLO,,opts) i=i+1 end