MATLAB: What is “Unable to compute indifference curve tangency portfolio.”

portalloc error indifference curve

I was playing around with the function portalloc to compute the tangency portfolio, the following error message occurred:

??? Error using ==> portalloc at 199
Unable to compute indifference curve tangency portfolio.

I have googled for this issue, but no answered so far.

Can anyone help to elaborate the cause of this error? Thanks in advance!

Best Answer

There is a explanation about this error by Bob taylor : matlabcentral

it may help you to understand the error message.

Related Solutions

MATLAB: Riskless assets and Financial toolbox

This link may be of some help Optimal Risky Portfolio Example

Post what you've done so far for further help.

EDIT

Then you can call portalloc rigth after frontcon, as outlined in the example from the link I posted, supplying an average risk free rate.

Doesn't come into my mind how to implement a stochastic risk-free rate into a mean-variance framework.

The suggestion by David also considers a scalar risk free rate.

MATLAB: How to calculate sensitivity to underlying price changes using Black’s model in the Financial Toolbox 3.4 (R2008a)

Black's model is a special case of a Black-Scholes model in which the futures/forward contract is the underlying asset and the dividend yield = the risk-free rate. In fact, BLKPRICE , which calculates pricing using Black's model calls BLSPRICE, which is used for pricing using Black-Scholes model.

Hence, you can calculate the sensitivities using the Black's model using the equivalent Black-Scholes function and using appropriate input values. For e.g. to get DELTA , we can use the BLSDELTA as follows:

[C,P] = blsdelta(So, X, R, T, SIGMA, R)

Notice that the last input is really the dividend yield, but is set to the risk-free rate (i.e. the 3rd in input).

Best Answer

Related Solutions

MATLAB: Riskless assets and Financial toolbox

MATLAB: How to calculate sensitivity to underlying price changes using Black’s model in the Financial Toolbox 3.4 (R2008a)

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