Estimation error using approaches including the mvp

Assignment Help MATLAB Programming

Reference no: EM131406405

APRMProject

1 Selecting the Data

2.1 Standard Markovitz

2.2 Tackling Estimation Error

1. Use the MVP:

2. No short selling constraint:

3. Maximum weights of 50%/100%:

Standard in blue, max weight 100% purple,max weight 50% yellow,no short selling orange.

For the maximum weight 50% and 100% constraint, the minimum variance portfolio occurs at the same point as with the standard approach. For the no short selling constraint, however, the minimum variance portfolio has a higher standard deviation. We find that all the constraints shrink the frontier, with the no short selling constraint producing a completely different frontier. The maximum weight 50% constraint diverges from the standard approach for most positive values and keeps going further away, and the maximum weight 100% constraint takes longer to diverge from the standard approach.

Reference no: EM131406405

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