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%% Using MATLAB to Optimize Portfolios with Financial Toolbox % % Robert Taylor % 3 May 2011 % % The MathWorks, Inc. % 3 Apple Hill Drive % Natick, MA, 01760 % % www.mathworks.com % % Copyright 2011 The MathWorks, Inc. %% % Introduce various features with the portfolio object % edit part1_intro %% % Examine time-evolution of maximum Sharpe or information ratio portfolios % edit part2_strategy %% % Examine impact of transaction costs on a backtest % edit part3_costs %% % Examine turnover constraint backtest % edit part4_turnover %% % Examine 130-30 hedge fund backtest % edit part5_hedge