Help Finding Efficient Frontier Charts

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RaleighStClaire
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Help Finding Efficient Frontier Charts

Post by RaleighStClaire » Fri Apr 27, 2012 11:43 am

There used to be someone on here years ago who would often post efficient frontier diagrams using matlab or mathematica and I wanted to try and replicate some of those. Basically I just want to be able to plug in return data and spit out a chart that would show where various portfolio mixes would lie. Can someone that remembers either link me to those or be of help in creating my own? Thanks!
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camontgo
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Re: Help Finding Efficient Frontier Charts

Post by camontgo » Fri Apr 27, 2012 12:41 pm

I'm not familiar with the original diagrams you are referring to, but I created some Octave scripts for calculating and plotting the efficient frontier for a set of n-assets using expected returns and the covariance matrix as inputs.

These scripts should run in Matlab with no changes. They don't do everything you are describing, but if you have access to Matlab it should be relatively easy to modify the scripts to read in return data from a spreadsheet and calculate the average returns and the covariance matrix. Also, you could easily add various portfolio mixes to the plot so you could see how they compare to the theoretical frontier.

If you don't have Matlab, you can download Octave for free...but the file i/o and plotting functions aren't as good, so it might be a bit more cumbersome to add the features you are describing.

The scripts are here:

http://www.calculatinginvestor.com/2011 ... rontier-1/
http://www.calculatinginvestor.com/2011 ... er-part-2/
http://www.calculatinginvestor.com/2011 ... rontier-3/
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Taylor Larimore
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Finding the Efficient Frontier

Post by Taylor Larimore » Fri Apr 27, 2012 12:58 pm

Hi Releigh:

I assume you know that total market index funds are each on their own Efficient Frontier:

Three Proofs that TSM is Efficient

Best wishes.
Taylor
"Simplicity is the master key to financial success." -- Jack Bogle

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RaleighStClaire
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Re: Help Finding Efficient Frontier Charts

Post by RaleighStClaire » Mon Apr 30, 2012 10:46 am

Bump?
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