Portfolio optimization is a formal mathematical approach to making investment decisions across a collection of financial instruments or assets. The classical approach, known as modern portfolio theory (MPT), involves categorizing the investment universe based on risk (standard deviation) and return, and then choosing the mix of investments that achieve a desired risk versus return tradeoff.
You can perform asset allocation in MATLAB using Financial Toolbox. The toolbox provides a comprehensive suite of portfolio optimization and analysis tools for performing capital allocation, asset allocation, and risk assessment. These tools enable you to:
Learn how to perform portfolio optimization with MATLAB 33:24 (Webinar)