Documentation

Financial Toolbox Classes

Alphabetical List By Category

Financial Time Series

Create Time Series

fints Construct financial time series object

Portfolio Optimization and Asset Allocation

Portfolio Optimization Theory

Portfolio Portfolio object for mean-variance portfolio optimization and analysis
PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Mean-Variance Portfolio Optimization

Create Portfolio

Portfolio Portfolio object for mean-variance portfolio optimization and analysis

Estimate Mean and Covariance for Returns

Portfolio Portfolio object for mean-variance portfolio optimization and analysis

Specify Portfolio Constraints

Portfolio Portfolio object for mean-variance portfolio optimization and analysis

Validate Portfolio

Portfolio Portfolio object for mean-variance portfolio optimization and analysis

Estimate Efficient Portfolios and Frontiers

Portfolio Portfolio object for mean-variance portfolio optimization and analysis

Conditional Value-at-Risk Portfolio Optimization

Create Portfolio

PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

Asset Returns and Scenarios

PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

Specify Portfolio Constraints

PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

Validate Portfolio

PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

Estimate Efficient Portfolios and Frontiers

PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

Mean-Absolute Deviation Portfolio Optimization

Create Portfolio

PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Asset Returns and Scenarios

PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Specify Portfolio Constraints

PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Validate Portfolio

PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Estimate Efficient Portfolios and Frontiers

PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Credit Risk

Create Credit Scorecards

creditscorecard Build credit scorecard model

Stochastic Differential Equation (SDE) Models

Specification

sde Stochastic Differential Equation (SDE) model
bm Brownian motion models
cev Constant Elasticity of Variance (CEV) models
cir Cox-Ingersoll-Ross mean-reverting square root diffusion models
diffusion Diffusion-rate model component
drift Drift-rate model component
gbm Geometric Brownian motion model
heston Heston model
hwv Hull-White/Vasicek Gaussian Diffusion model
sdeddo Stochastic Differential Equation (SDE) model from Drift and Diffusion components
sdeld SDE with Linear Drift model
sdemrd SDE with Mean-Reverting Drift model

Simulation

sde Stochastic Differential Equation (SDE) model
bm Brownian motion models
cev Constant Elasticity of Variance (CEV) models
cir Cox-Ingersoll-Ross mean-reverting square root diffusion models
diffusion Diffusion-rate model component
drift Drift-rate model component
gbm Geometric Brownian motion model
heston Heston model
hwv Hull-White/Vasicek Gaussian Diffusion model
sdeddo Stochastic Differential Equation (SDE) model from Drift and Diffusion components
sdeld SDE with Linear Drift model
sdemrd SDE with Mean-Reverting Drift model
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