1
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0answers
19 views

Matlab Optimization problem with Matrices

I'm trying to solve an optimization problem in Matlab. The equations you will find below. Problem is it is all Matrices, and I have no idea which solver to use for that. w is of size (n x 1) mu_BL (1 ...
0
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1answer
95 views

Interest Rate Tree in Matlab

I would like to calibrate a interest rate tree using the optimization tool in matlab. Need some guidance on doing it. The interest rate tree looks like this: How it works: 3.73% = 2.5%*exp(2*0.2) ...
0
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1answer
609 views

Matlab multivariate normal distribution parameters (mvnrnd)

I need to use the mvnrnd function in matlab to generate random monthly returns for a set of assets. However, I am a bit confused about how to use this function to do it since it asks me MU and SIGMA ...
0
votes
1answer
464 views

Are quadprog and portopt equivalent in Matlab?

What exactly is the difference between quadprog and portopt in Matlab? For example if I use quadprog (minimizing the variance) in a loop in which I continuously iterate through the expected returns of ...
1
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1answer
2k views

Matlab Trust-region-reflective algorithm warning

I am very new to matlab and trying to solve portfolio optimization problem (minimizing the variance) using quadprog: ...
0
votes
2answers
2k views

Using Matlab quadprog to solve markowitz model

I have the markowitz model shown below and I need to use the quadprog function to solve it (i.e get the values for w_i values). However I am a bit new to mat lab and not sure which definition of ...
0
votes
1answer
364 views

Price-Yield Curve with Matlab

Not sure if this is the right place to ask but I was wondering if anyone has an idea about how to draw a Price-Yield curve. Is there ready-to-use formulas for this purpose ? An example of curve and ...