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Using MATLAB to Optimize Portfolios with Financial Toolbox

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Using MATLAB to Optimize Portfolios with Financial Toolbox

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Scripts and data to demonstrate the new Portfolio object in Financial Toolbox.

webinar.m
%% Using MATLAB to Optimize Portfolios with Financial Toolbox
%
% Robert Taylor
% 3 May 2011
%
% The MathWorks, Inc.
% 3 Apple Hill Drive
% Natick, MA, 01760
%
% www.mathworks.com
%
% Copyright 2011 The MathWorks, Inc.

%%
%	Introduce various features with the portfolio object
%

edit part1_intro

%%
%	Examine time-evolution of maximum Sharpe or information ratio portfolios
%

edit part2_strategy

%%
%	Examine impact of transaction costs on a backtest
%

edit part3_costs

%%
%	Examine turnover constraint backtest
%

edit part4_turnover

%%
%	Examine 130-30 hedge fund backtest
%

edit part5_hedge

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