Portfolio Optimization with MATLAB

Overview

This project optimizes a portfolio of 25 equities by calculating the Maximum Sharpe Ratio Portfolio and the Maximum Return Portfolio. The analysis is based on monthly returns, using data from an Excel file (25eq2022.xlsx).

Files

• 25eq2022.xlsx – Contains historical adjusted prices and monthly returns.
  • Sheet: 'adj pr' – Adjusted prices of stocks.
  • Sheet: 'rtn' – Precomputed monthly returns.

Methodology

1. Load data from Excel – Extract stock symbols and monthly return data.
2. Set up Portfolio Optimization – Define constraints and risk-free rate.
3. Optimize Portfolios:
   • Maximum Sharpe Ratio Portfolio – Balances return and risk.
   • Maximum Return Portfolio – Seeks highest expected return.

Here is a graph of our portfolio returns against SPY. It should be noted that this may not be exactly representative of the portfolio, as a portfolio trained on past data is bound to outperform when backtested on the same data.