MATLAB FINANCIAL DERIVATIVES TOOLBOX Uživatelský manuál stáhnout pdf (Strana 117)

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280090170

090210150

170150250

...

sss

CBCA

ACAB

Write a script with the name: MeanVarMin.m that will do the following:

• Saves in a column vector the weights for the solution of the above

mean-variance minimization problem given by:

00500050100

0380050620340

0220100340380

=−++

.w.w.

.?.w.w.

and

CAc

www −−= 1

Find its expected return and its standard deviation.

• Create an m-file with the analytic expression of the function f with the

name: portFun.m with the following syntax:

“f=

n(x,r,V,R)”

with x to represent a three element vector, ]?,w,w[x

= , r to be

the vector of the assets expected return, V the variance covariance

matrix and R the desire portfolio expected return.

• Assuming the inexistence of a risk-free rate, create a plot with the

minimum variance opportunity set (current efficient frontier) for

values of R that range between 1% and 40%. The figure should plot

the standard deviation against the portfolio expected return. To do so,

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