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Analyzing Investment Strategies with CVaR Portfolio Optimization

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Analyzing Investment Strategies with CVaR Portfolio Optimization

by

Bob Taylor (view profile)

 

18 Dec 2012 (Updated )

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

cvarwebinar.zip
cvarwebinar.m
cvarwebinar_calibration.m
cvarwebinar_normality.m
cvarwebinar_optimization.m
cvarwebinar_reality.m
cvarwebinar_scenarios.m
cvarwebinar_theory.m
data/BuyWriteStockUniverse.mat
data/BuyWriteTestData.mat
license.txt
readme.txt
setlocalpaths.m
source/covered_engine.m
source/gbm_calibration.m
source/gbm_call_price.m
source/gbm_upcrossing_prob.m
source/uncovered_engine.m

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