Re: New Markowitz / Matlab

[Vic Norton]

On Jan 13, 2015, at 2:57 PM, Julien Bect <address@hidden> wrote:

> Just to be clear: I'm not asking you to change anything in your package to 
> make it Matlab-compatible.
> 
> I'm just saying, if you want me or someone else to test something for you in 
> Matlab, you have to provide scripts that run in Matlab.


Right, Julien. I'm really only interested in Octave; I'm a card carrying member 
of the Free Software Foundation.

Be that as it may, here is a script that should run in MatLab. I would be very 
interested in the MatLab result.
   http://vic.norton.name/finance-math/newmarkowitz/matlabtest.m.zip

Also, for your curiosity, I've uploaded a picture of the 2014 performance of
   SPY  - SPDR S&P 500 (the largest and oldest exchange traded fund)
   BND  - Vanguard Total Bond Market ETF (the largest bond ETF)
   VIC  - An unattended ETF portfolio in BND, XLP, XLV, and XLU
   X156 - An unattended portfolio of 6 ETFs that gained exactly 15% in 2014
The X156 portfolio  performed very much like the efficient p15 in the 
matlabtest. It was much, much less volatile than SPY, but it earned a bit more. 
(SPY earned 13.5% in 2014.)
   http://vic.norton.name/finance-math/newmarkowitz/growth2014.pdf

Thanks for your continuing comments and help!

Regards,

Vic