Code covered by the BSD License

covered_engine(X, T, mu, sigm... covered_engine - Generate scenarios for a covered-call strategy with expiration.
gbm_calibration(t0, X, t) gbm_calibration - Calibrate a multivariate geometric Brownian motion process.
gbm_call_price(X0, K, r0, T, ... gbm_call_price - Black-Scholes call option pricing model for geometric Brownian motion prices.
gbm_upcrossing_prob(X0, K, T,... gbm_upcrossing_prob - Compute probability of an upcrossing of a geometric Brownian motion.
uncovered_engine(X, T, ... uncovered_engine - Generate scenarios for an uncovered and a covered buy-write strategy.
cvarwebinar.m
cvarwebinar_calibration.m
cvarwebinar_normality.m
cvarwebinar_optimization.m
cvarwebinar_reality.m
cvarwebinar_scenarios.m
cvarwebinar_theory.m
setlocalpaths.m
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Analyzing Investment Strategies with CVaR Portfolio Optimization

18 Dec 2012 (Updated 18 Dec 2012)

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

File Information
Description	A .zip file contains a series of scripts that were used in the MathWorks webinar "Analyzing Investment Strategies with CVaR Portfolio Optimization in MATLAB." The scripts demonstrate features of the PortfolioCVaR and Portfolio objects for normative analysis of a covered-call strategy. A readme.txt. file in the .zip folder describes how to use the scripts.
Required Products	Financial Toolbox Optimization Toolbox Statistics Toolbox MATLAB
MATLAB release	MATLAB 8.0 (R2012b)
Other requirements	Requires 64-bit processor and at least 2 GB RAM.

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Everyone's Tags	cvar, finance, meanvariance, optimization, portfolio, simulation
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Comments and Ratings (3)
16 Mar 2013	Hao Sun	what's the usage of assigned= false
03 Jan 2013	Xiaolong	Total wealth doesn’t include the option position? Your portfolio is stock + cash – call. But the wealth is calculated as the value of stock + cash, ignoring the call. What is the justification of that? We simply exclude all the short positions?
03 Jan 2013	Xiaolong

Updates
18 Dec 2012	Final corrections.