Analyzing Investment Strategies with CVaR Portfolio Optimization: setlocalpaths.m - File Exchange

Code covered by the BSD License

Highlights from
Analyzing Investment Strategies with CVaR Portfolio Optimization

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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from Analyzing Investment Strategies with CVaR Portfolio Optimization by Bob Taylor
Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox.

setlocalpaths.m

%setlocalpaths - Set up local paths for cvarwebinar environment.
%
%	setlocalpaths;
%
% Copyright (C) 2012 The MathWorks, Inc.

fprintf('Setting paths for ''cvarwebinar'' environment ...\n');

addpath ./data
addpath ./source

Highlights from Analyzing Investment Strategies with CVaR Portfolio Optimization

Highlights from
Analyzing Investment Strategies with CVaR Portfolio Optimization