Portfolio Optimization

56 The Capital Asset Pricing Model Chap. 3

1 %C MLplot.m

2 fu nction CMLplot(tlow,thigh,tinc,alpha0,alpha1,...

3 beta0,beta2,mu,Sigma,r)

4 EF MSDplot(tlow,thigh,tinc,alpha0,alpha1,beta0,beta2);

5 ho ld on

6 n = len gth(mu); el l = ones(1,n)';

7 co eff = (mu − r

*

ell)'

*

Sigmaˆ−1

*

(mu − r

*

ell)

8 co effsqrt = coeff.ˆ0.5

9 tm = 1. /(ell'

*

Sigmaˆ−1

*

(mu − r

*

ell))

10 xm = tm

*

Sigmaˆ−1

*

(mu − r

*

ell)

11 t = t low:tinc.ˆ2:tm;

12 mup = r + t

*

coeff;

13 sigmap = t

*

coeffsqrt;

14 plot(sigmap,mup,'k')

15 t = t m:tinc.ˆ2:3

*

tm;

16 mup = r + t

*

coeff;

17 sigmap = t

*

coeffsqrt;

18 plot(sigmap,mup,'k−.')

19 mup = r + tm

*

coeff; sigmap = tm

*

coeffsqrt;

20 xlabel('Portfolio S tandard D eviation ...