Application of Matlab in Portfolio Optimization

Shufan Chen

Master's thesis

Abstract:

There exists a rule in investing activities, which is “don’t put all eggs in one basket”. It’s because of the existence of this rule, the portfolio optimization becomes important. As we all know, portfolio optimization is a process of selecting the best portfolio that meet the investor’s requirement. The main idea of the portfolio optimization is how investors make a choice between the risk and return. In general, the investors want to maximum the return at a low-level risk, but in fact, the rise in return is also followed by the increase of risk. The portfolio optimization was firstly proposed by Markowitz (1952), who proposed that if the investor need to make a decision between two portfolios with the same return, all investors will choose the portfolio with less risky.

Abstract:

There exists a rule in investing activities, which is “don’t put all eggs in one basket”. It’s because of the existence of this rule, the portfolio optimization becomes important. As we all know, portfolio optimization is a process of selecting the best portfolio that meet the investor’s requirement. The main idea of the portfolio optimization is how investors make a choice between the risk and return. In general, the investors want to maximum the return at a low-level risk, but in fact, the rise in return is also followed by the increase of risk. The portfolio optimization was firstly proposed by Markowitz (1952), who proposed that if the investor need to make a decision between two portfolios with the same return, all investors will choose the portfolio with less risky.

Keywords

Portfolio optimization, Risk, Return, Matlab, Naive strategy, Mean-variance model, Random mode, Max Sharpe ratio, Wealth, Sharpe ratio, Maximum Drawdown, Stock price

Keywords

Portfolio optimization, Risk, Return, Matlab, Naive strategy, Mean-variance model, Random mode, Max Sharpe ratio, Wealth, Sharpe ratio, Maximum Drawdown, Stock price

Language used: English

Date on which the thesis was submitted / produced: 27. 4. 2018

Thesis defence

• Date of defence: 28. 5. 2018
• Supervisor: Aleš Kresta
• Reader: Jiří Valecký

VŠB - Technical University of Ostrava

Ekonomická fakulta

Master programme / field:
Hospodářská politika a správa / Finance