Plot Efficient Frontier of Financial Portfolios
This example analyzes three portfolios with given rates of return for six time periods by executing MATLAB® functions using Spreadsheet Link™. In actual practice, these functions can analyze many portfolios over many time periods, limited only by the amount of computer memory available.
For details about the efficient frontier of financial portfolios, see Analyzing Portfolios (Financial Toolbox). To learn about portfolio optimization theory, see Portfolio Optimization Theory (Financial Toolbox).
The example organizes and displays the input and output data in a Microsoft® Excel® worksheet. Spreadsheet Link functions copy data to a MATLAB matrix, perform calculations using Financial Toolbox™ functions, and return data to the worksheet.
ExliSamp.xls file and select the Sheet5 worksheet.
For help finding the
ExliSamp.xls file, see Installation.
This worksheet contains rates of return for three different portfolios: Global, Corporate Bond, and Small Cap.
This example requires Financial Toolbox, Statistics and Machine Learning Toolbox™, and Optimization Toolbox™.
Execute the Spreadsheet Link function that transfers the plot labels for the x-axis and y-axis to the MATLAB workspace by double-clicking the cell
A15and pressing Enter.
Copy the portfolio return data to the MATLAB workspace by executing the function in the cell
Generate efficient frontier data for 20 points along the frontier by executing the Financial Toolbox functions in
Copy the output data to the Excel worksheet by executing the Spreadsheet Link functions in
The output data contains the highest rate of return
RORfor a given risk. The output data also contains the weighted investment in each portfolio
Weightsthat achieves that rate of return.
Plot the efficient frontier for the same portfolio data by executing the Financial Toolbox functions in cell
The light blue line shows the efficient frontier. Observe the change in slope above a 6.8% return because the Corporate Bond portfolio no longer contributes to the efficient frontier.
To generate different efficient frontier data, close the figure
and change the data in cells
B4:D9. Then, execute
all the Spreadsheet Link functions again. The worksheet updates
with new frontier data and MATLAB generates a new efficient frontier
ewstats (Financial Toolbox) |
portopt (Financial Toolbox)