Date: May 11, 2013 11:55 AM
Subject: Genetic Algorithm and Efficient Portfolio
I?m watching the video here:
Very cool stuff!! When you install Matlab, and you get the ExcelLink, you have an Excel file named ?DowPortfolio?. This file contains some macros. Here is the one that minimizes the portfolio risk:
MLPutMatrix "targetRet", Application.Range("Summary!G18")
MLPutMatrix "portSize", Application.Range("Summary!F18")
MLEvalString ("[portStd, portRet, portWts, portIndx] = ComputeBestPortfolio(expRet,expCov,portSize,targetRet)")
MLGetVar "portWts", portWts
MLGetVar "portStd", portStd
Application.Range("Summary!D2:D31").Value = portWts
Application.Range("Summary!H18").Value = portStd
I know VBA pretty well. I?m wondering where the logic of this is REALLY running. There must be some .m files somewhere that make this work. Can someone please tell me the name of this file, or these files? I looked for them, but I can?t find them. VBA most definitely is not doing the logic. Where is the logic really running???
Sorry if this is a dumb question. Maybe I missed something simple.