Highlights from
Using MATLAB to Develop Portfolio Optimization Models
- [DateHistory, RetHistory, Por... DJIAestimate BlueChipStock estimation and analysis for DJIA period
- ecmninit(Data, InitMethod) ECMNINIT Calculate initial mean and covariance for ECMNMLE.
- ecmnmle(Data, InitMethod, Max... ECMNMLE Estimate mean and covariance of incomplete multivariate normal data.
- ecmnobj(Data, Mean, Covar, Ch... ECMNOBJ Evaluate negative log-likelihood function for ECMNMLE.
- maxdrawdown(Data) MAXDRAWDOWN Calculate maximum drawdown for one or more total return price series
- BCSbacktest.m
- BCSbacktest2.m
- BCSdrawdown.m
- BCSestimate.m
- BCSfrontier.m
- BCSportfolio.m
- BCSturnover.m
- BCSwebinar.m
- View all files
from
Using MATLAB to Develop Portfolio Optimization Models
by Bob Taylor
Scripts to create time-evolving efficient frontiers and to backtest results. |
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