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
BGMV = [1]

[WGMVLO(:,1), VARGMV] = quadprog(SIGMA,[],[],[],AGMV,BGMV,LBLO,UBLO,[],opts)
%%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;
for i=1:N
    BCML = [ERCML(1,i)]
    [WCMLO(i), VARCML] = quadprog(SIGMA,[],[],[],ACML,BCML,LBLO,UBLO,[],opts)

// [1]: https://i.stack.imgur.com/ofqxC.png

  • $\begingroup$ You have a loop i=1:N, but in the same loop you are incrementing i=i+1, which seems unnecessary. Why increment twice? $\endgroup$ – Alex C May 15 at 14:33
  • $\begingroup$ Fair point..i just do it because i thought i had to increment the 'i' myself..do you think my constraints are correct? because I am not getting good result LBLO are 0.01 UBLO 1 $\endgroup$ – renato May 15 at 16:01
  • $\begingroup$ I don't follow what the code is doing really. Is UNO a vector of 1's? You are trying to approximate the tangency by a sequence of N points? Instead of finding the point directly? Maybe you could write down mathematically the problem, and later convert it to code... $\endgroup$ – Alex C May 15 at 17:10
  • $\begingroup$ Yes UNO is a vector of ones and I have realized the code is not set in the right way i dont need an index becuase what i am lloking for is a simple tandency portfolio with short selling constraints..i have tried to find solutions for the maximization of the SR through qp but it is still unclear to me $\endgroup$ – renato May 15 at 17:29
  • $\begingroup$ There is a method of SR maximization by QP discussed here quant.stackexchange.com/questions/42767/… $\endgroup$ – Alex C May 15 at 17:33

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.