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Analyzing Investment Strategies with CVaR Portfolio Optimization

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Analyzing Investment Strategies with CVaR Portfolio Optimization

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18 Dec 2012 (Updated )

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

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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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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.

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