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updated 1 month ago

portfolioMom.m by Christopher

Portfolio higher order co-moments (covariance, coskewness, cokurtosis)

portfolioMom( weights, series,mean_v,varcov,coskew,cokurt...

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updated 8 months ago

Portfolio Optimization by Reza Rahemi

Generic risk management and analysis tool for asset allocation. Automatic data import using internet (finance, portfolio, track)

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updated 10 months ago

MATLAB for R Users in Computational Finance by Ameya Deoras

Learn how to use MATLAB and R together to tackle your computational needs (r, rstudio, time series)

Backtest Moving Average RSI Combo Strategy

Optimizing Market Risk using Copula Simulation

blsapp()

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updated almost 2 years ago

Analyzing Investment Strategies with CVaR Portfolio Optimization by Bob Taylor

Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox. (finance, portfolio, optimization)

covered_engine(X, T, mu, sigma, ...

gbm_calibration(t0, X, t)

gbm_call_price(X0, K, r0, T, sigma)

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updated almost 2 years ago

Parametric Value At Risk by David Willingham

Computes the Parametric Value at Risk for a given Portfolio (var, value at risk, parametric value at r...)

computeParametricVaR(returns,confidence_level,plot_flag)

exampleparvar.m

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updated almost 2 years ago

Historical Value At Risk by David Willingham

Calculates Historical Value at Risk for a given portfolio of returns (value at risk, portfolio, var)

computeHistoricalVaR(returns,confidence_level,plot_flag)

examplehistvar.m

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updated 2 years ago

survivePortfolio by mono

Specify a joint distribution of survival times for a credit portfolio of credit risks. (portfolio, credit risk, joint distribution)

p=survivePortfolio(hazard,cor,nrsim,tinvest)

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updated 2 years ago

Simple Portfolio Optimization Methods by Semin Ibisevic

Myopic, Constant or Buy-and-Hold and Dynamic Strategies to calculate the optimal portfolio weight. (myopic, buyandhold, dynamic)

optDynamic(returns, predictors, gamma, rf, accuracy)

optMyopic(returns, gamma, rf, accuracy)

simBellman(n,k,param)

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updated 3 years ago

Using MATLAB to Optimize Portfolios with Financial Toolbox by Bob Taylor

Scripts and data to demonstrate the new Portfolio object in Financial Toolbox. (portfolio, optimization, finance)

part1_plot(varargin)

PortfolioDemo

part1_intro.m

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updated 4 years ago

Example of Volatility Pumping by Edward Grace

This script demonstrates the phenomenon of excess growth in a constant rebalancing portfolio. (finance, shannons demon, crp)

ejg_volatility_pumping.m

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updated 8 years ago

Using MATLAB to Develop Portfolio Optimization Models by Bob Taylor

Scripts to create time-evolving efficient frontiers and to backtest results. (finance, modeling, analysis)

[DateHistory, RetHistory, PortHistory, X, Y, Z ] ...

ecmninit(Data, InitMethod)

ecmnmle(Data, InitMethod, MaxIter, Tolerance, Mean0, Cova...

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updated almost 10 years ago

Omega by Nabeel Azar

Computes the omega value of a portfolio. (finance, modeling, analysis)

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updated 16 years ago

riskcalc by Anatoly Ivanov

Risk Calculator (finance, modeling, analysis)

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