Is there an alternative to Portalloc for portfolio optimization?

2 views (last 30 days)
Hi everyone,
I need to build a script to have an optimal portfolio given a matrix with all the returns of different equities.
I already used the function Portfolio, implemented directly in Matlab. The problem is that with this function i cannot find an optimal portfolio given my risk aversion.
I could decide that my target risk is 0.1 (for example) and solve to find the portfolio with the highest return for the target risk.... but sometime the target risk is out of my range so it doesn't work.
I discovered that the function Portalloc does exactly what I need but unfortunately most of the times it doesn't work with my equities... in fact it keeps saying
"Unable to compute indifference curve tangency portfolio."
I already tried to change all my input settings like suggested from someone in this or other forums but i always have the same error.
Do you know if there are other functions that I could use in combination with "Portfolio" and "PortfolioCvar" for this purpose??
Or, do you have a script that does what I need? Thank you very much.

Answers (0)

Categories

Find more on Portfolio Optimization and Asset Allocation in Help Center and File Exchange

Community Treasure Hunt

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

Start Hunting!