Portfolio Optimization

Appendix

In this appendix, we summarize the name, purpose, and page reference

for each of the computer programs presented throughout the text. The

names of the various routines are formulated so that “EF” r efers to

the Efficient Fr ontier, “MV” refers to Mean Variance, “MSD” refers to

Mean Standard Deviation and “CML” refers to Capital Market Line.

TABLE 10.1 Summary of Computer Programs

Chap Name Purpose Page

1 Example1p2.m Solves

min{c

′

x +

1

2

x

′

Cx|Ax = b} 17

checkdata.m checks for C being

symmetric and positive definite 18

2 Example2p1.m Calls EfficFrontCoeff to obtain effi-

cient

frontier coefficients for Example 2 .1 34

EFMVcoeff.m Calculates coefficients of efficien ...