I'm trying to recreate the Matlab 2013 result for the tagency portfolio in
fPortfolio. However, the resulting weights are not the same. I use the
standard parameters in both Matlab and fPortfolio. The Markowitz efficient
frontier is correct in both software suites. To validate this, I compared
the minimum variance portfolio and a few random portfolios with a given
variance on the efficient frontier.
In Matlab I use "[PortRisk, PortReturn, PortWts] = portopt(ExpReturn,
ExpCovariance, 50)" to calculate the efficient frontier and "portalloc
(PortRisk, PortReturn, PortWts, RisklessRate, BorrowRate, RiskAversion)"
for the tangency portfolio.
Is there a catch that I'm missing when recreating results with Matlab and
fPortfolio?

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