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New Markowitz / Matlab
New Markowitz / Matlab
Mon, 12 Jan 2015 08:00:55 -0500
We are currently working on a paper
New Markowitz: a package to aid in portfolio selection
We present a GNU Octave package to aid in financial portfolio
selection, with examples of its use on current data. Our minnormy
function, at the core of the package, is a variation on Harry
Markowitz’s critical line algorithm.
to be published in the Portfolio Management section of "The Archives"
<http://arxiv.org>. An example in the paper uses the 2014 performance of
243 exchange traded funds, each of which had at least $1 billion in
assets under managemnt at the end of 2014. In that example we compute
the efficient portfolio of these funds that had a total return of
exactly 15% in 2014. (Efficient here means least standard deviation of
For your curiosity the 243 funds and their 2014 statistics are listed
in decreasing order of assets under management at the end of 2014. The
efficient portfolio descibed above is
0.00018 XLP - Consumer Staples Select Sector SPDR ETF
0.08359 TLT - iShares 20+ Year Treasury Bond
0.04336 ICF - iShares Cohen & Steers REIT
0.08937 BNDX - Vanguard Total Intl Bd Idx ETF
0.16371 PGX - PowerShares Preferred
0.02371 IYT - iShares Transportation Average
0.00894 FXG - First Trust Consumer Staples AlphaDEX
0.01587 EPI - WisdomTree India Earnings
0.00555 FBT - First Trust NYSE Arca Biotech Index
0.08274 HYD - Market Vectors High-Yield Muni ETF
0.07932 PGF - PowerShares Financial Preferred
0.22353 TFI - SPDR Nuveen Barclays Capital Muni Bond
0.00842 EMLP - First Trust North American Energy Infras
0.17171 UUP - PowerShares DB US Dollar Index Bullish
at 2014-12-31 closing prices.
Apparently Matlab/MathWorks has routine(s) that accomplish the same task.
We are not aware of any such Octave packages. We expect that Matlab
might have a problem with our data since the corresponding covariance of
returns matrix has L2-condition-number over 100,000,000.
We do not have access to Matlab, but we would be very much interested in
how it performs on our data. Our package (with data) is available for
Any information on Matlab performance would be greatly appreciated.
P.S. The rtndecomp function is part of the New Markowitz package. This
function is described at <http://arxiv.org/abs/1206.2333>.
P.P.S. Our New Markowitz package requires at least Octave 3.8 since it
has functions nested inside of a function.
- New Markowitz / Matlab,
Vic Norton <=