• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Markowitz Portfolio (n, m)

Modern portfolio theory (MPT) is a theory of investment which attempts to maximize portfolio expected return for a given amount of portfolio risk, or equivalently minimize risk for a given level of expected return, by carefully choosing the proportions of various assets.

Exsan Markowitz Portfolio (n, m) -- n assets, m ticks
Attached zip file contains binary ExSan4.02.C_MarkowitzPortfolio, extract it to your desktop and execute.
Data files, also included, test, mkt, mkt0830 must be extracted to the directory c:\exsan

Data file Format: see test file
stock price

Execute exsan_markowitz_portfolio it will ask the name of the data file, type in test -your data file- then, it will ask the number of ticks to be used, type in 6 ?
that is it, results will be displayed at the end, including graphs of efficient frontier
 

Attachments

  • MARKOWITZ.zip
    939.9 KB · Views: 105

alain

Older and Wiser
Where is the source code? I can get all that for free using R and the fPortfolio package. Even more, I can get Black-Litterman and its more recent updates using the BLCOP package. And if that were not enough, I could use the "deoptim" package to do Global Portfolio Optimization using Differential Evolution.

I don't see any advantage to even try your program unless you provide the source code.
 
Markowitz_Portfolio around 500 lines of C/C++ source code - very few will be interested
the whole ExSan platform, around 35K lines,
 

alain

Older and Wiser
Markowitz_Portfolio around 500 lines of C/C++ source code - very few will be interested
the whole ExSan platform, around 35K lines,

Actually, I would say everybody is highly interested. I still don't know why you don't want to share the code in a public forum.
 

alain

Older and Wiser
I previously request Admin permission

Why do you need Admin permission?

One more thing, I work on a Mac and on a Linux box. I don't use Windows unless it is totally necessary. I would like to compile your code and look at your implementation.
 
If everyone is curious to see the internals then the best explanation would be in the book of Professor Dan Stefanica on page 260, edition 1. Implementation of the investment engine - under 100 lines of code, the most crucial part is the return predictor - lines of code 1 to infinity.
 
Top