Whether the code for plotting efficiency frontier is correct or not?

% Task is to plot efficiency frontier for the current energy mix (portfolio) indicating Sharpe ratio, % and plot assets with their returns and deviations. % There is countryZ, where there are four enegy companies (compapy1...company4) operating. % Energy mix (portfolio) of the countryZ consists of seven energy assets % ({'A','B','C','D','E','F','G'}). Energy mixes (portfolios) of each of four energy companies consists of different % combinations of the mentioned energy assets. Prices (costs) for the energy assets are given for a period of % six years ({'1';'2';'3';'4';'5';'6'}). Current energy portfolios of the countryZ as well as four enegy companies % are as the following: % CountryZ= [0.49;0.8;0.12;0.01;0.01;0.01;0.28]; % Company1=[0.78;0.21;0;0.01;0.001;0;0]; % Company2=[0;0;0.02;0;0;0;0.98]; % Company3=[1;0;0;0;0;0;0]; % Company4=[0;0;1;0;0;0;0]; % I would like to know whether the code below makes any sence, whether it is correct? % Does it mean that Sharpe ratio indicates the most riskless portfolio on the efficiency frontier?

AssetList={'A','B','C','D','E','F','G'}; c=AssetCovar; m=AssetMean; year={'1';'2';'3';'4';'5';'6'}; A=[44.8;55.7;59.1;63.4;70.7;88]; B=[68.8;87.2;104.9;106.6;112.8;168.3]; C=[11.4;12.9;20.7;20.1;30.2;71.1]; D=[93.8;137.4;276.9;262.4;286;434.1]; E=[93.8;137.4;276.9;262.4;286;434.1]; F=[93.8;137.4;276.9;262.4;286;434.1]; G=[15.8;18.8;21.4;21.7;27.7;39.5]; T=table(year,A,B,C,D,E,F,G); symbol = T.Properties.VariableNames(2:end)'; Return = tick2ret(T{:,2:end}); m=mean(Return)'; C=cov(Return); p = Portfolio; p = setAssetMoments(p, m, C); [assetmean, assetcovar] = getAssetMoments(p); p = setInitPort(p,1/p.NumAssets); [prsk,pret] = estimatePortMoments(p,p.InitPort); p = setDefaultConstraints(p); pwgt = estimateFrontier(p); p = setDefaultConstraints(p); pwgt = estimateFrontier(p); [prsk, pret] = estimatePortMoments(p, pwgt); pwgtCountryZ=[0.49;0.8;0.12;0.01;0.01;0.01;0.28]; pwgtCompany1=[0.78;0.21;0;0.01;0.001;0;0]; pwgtCompany2=[0;0;0.02;0;0;0;0.98]; pwgtCompany3=[1;0;0;0;0;0;0]; pwgtCompany4=[0;0;1;0;0;0;0]; [CountryZrsk, CountryZret] = estimatePortMoments(p, pwgtCountryZ); [Company1rsk, Company1ret] = estimatePortMoments(p, pwgtCompany1); [Company2rsk, Company2ret] = estimatePortMoments(p, pwgtCompany2); [Company3rsk, Company3ret] = estimatePortMoments(p, pwgtCompany3); [Company4rsk, Company4ret] = estimatePortMoments(p, pwgtCompany4); swgt = estimateMaxSharpeRatio(p); [srsk,sret] = estimatePortMoments(p,swgt); p = setDefaultConstraints(p); pwgt = estimateFrontier(p,10); [prsk,pret] = estimatePortMoments(p,pwgt); p = Portfolio('assetmean', m, 'AssetList',{'A','B','C','D','E','F','G'},'assetcovar', C, ... 'lowerbudget', 1, 'upperbudget', 1, 'lowerbound', 0); clf; portfolioexamples_plot('Efficient Frontier with Maximum Sharpe Ratio Portfolio', ... {'line', prsk, pret}, ... {'scatter', srsk, sret, {'Sharpe'}}, ... {'scatter', [CountryZrsk,Company1rsk,Company2rsk,Company3rsk,Company4rsk], [CountryZret,Company1ret,Company2ret,Company3ret,Company4ret], {'CountryZ','Company1','Company2','Company3','Company4'}}, ... {'scatter', sqrt(diag(p.AssetCovar)), p.AssetMean, p.AssetList, '.r'});