Financial toolbox example of Matlab's documentation doesn't work.

Hello,

I am working on portfolio analysis and tried the following example of the Financial Toolbox documentation, but get just an error message. The code is exactly the one from the documentation and all other examples are working well.

The code describes the portfolio optimization to find the max. sharp ratio. (link to the documentaion: http://www.mathworks.de/help/toolbox/finance/bswmb3d-1.html#bs3z4e7-1)

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r0 = 0.03;
m = [ 0.05; 0.1; 0.12; 0.18 ];
C = [ 0.0064 0.00408 0.00192 0;
      0.00408 0.0289 0.0204 0.0119;
      0.00192 0.0204 0.0576 0.0336;
      0 0.0119 0.0336 0.1225 ];

p = Portfolio('RiskFreeRate', r0);
p = p.setAssetMoments(m, C);
p = p.setDefaultConstraints;
pwgt = p.estimateMaxSharpeRatio;

display(pwgt);

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When I run the code I get this error message:

Error in ==> SharpTest at 11
pwgt = p.estimateMaxSharpeRatio;

Thank you in advance for your help.

Dominik

[Walter Roberson]

Please post the full error message. For example is it complaining about unknown method "estimateMaxSharpeRatio" ?

[Dominik]

That's the full error message:

??? No appropriate method, property, or field estimateMaxSharpeRatio for class Portfolio.

Error in ==> SharpTest at 11 pwgt = p.estimateMaxSharpeRatio;

[Walter Roberson]

Please set a breakpoint at that line, and ask

methods(p)

Also, which MATLAB version are you using?

[Dominik]

I use R2011a.

please could you give me more information (code) of your suggestion.

Thank you

Ok... I asked for methods(p)

estimateMaxSharpeRatio is not in the list. Does it depend on the version?

Answer 1

[Walter Roberson]

It appears that tool was not present in R2011a. It is not shown in the R2011a documentation http://www.mathworks.com/help/releases/R2011a/toolbox/finance/bswmb3d-1.html#bswwlv8-1