0
votes
1answer
469 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
vote
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: ...
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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 ...
1
vote
1answer
430 views

Markowitz portfolio optimization

Say that there are 5 assets with given mean values, standard deviations and correlations. Is it possible to find the expected return of a risk-seeking portfolio (maximum expected return) by using ...