Does the function estimateFrontier find the global or local optimal portfolios?
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Yosef Bisk
am 28 Jul. 2017
Bearbeitet: Walter Roberson
am 31 Jul. 2017
Does the estimateFrontier function in the financial toolbox find the global or local optimal portfolios?
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Shruti Shivaramakrishnan
am 31 Jul. 2017
Bearbeitet: Walter Roberson
am 31 Jul. 2017
The following link provides more information about the portfolio optimization theory: https://www.mathworks.com/help/finance/portfolio-optimization-theory-mv.html
The solvers can be explicitly set as well depending on requirements. For example:
p = setSolver(p, 'fmincon', 'Algorithm', 'trust-region-reflective', 'Display', 'off');
display(p.solverOptions.Algorithm);
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