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updated 1 month ago

Financier by Raza88

Raza88 (view profile)

Financial portfolio management (finance, portfolio, optimization)

FINANCIER.m

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updated 2 months ago

CallDeltahedge( S,K,r,T,vol,n ) by Dimosthenis Karaflos

This functon calculates the final P&L from a delta hedging strategy of a short call option!! (finance, derivatives, simulation)

CallDeltahedge( S,K,r,T,vol,n )

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updated 3 months ago

FQuantToolBox V1.3[NoHistData] byLY_faruto by faruto

faruto (view profile)

FQuantToolBox: A Data and Backtesting Quant Tool Box based on MATLAB by faruto. (quant, stock, trade)

GetIndexList_Web.m

GetIndexTSDay_Web.m

GetStockList_Web.m

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updated 8 months 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 1 year ago

MATLAB for R Users in Computational Finance by Ameya Deoras

Ameya Deoras (view profile)

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 2 years ago

Analyzing Investment Strategies with CVaR Portfolio Optimization by Bob Taylor

Bob Taylor (view profile)

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 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 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 3 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 4 years ago

Using MATLAB to Optimize Portfolios with Financial Toolbox by Bob Taylor

Bob Taylor (view profile)

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 9 years ago

Using MATLAB to Develop Portfolio Optimization Models by Bob Taylor

Bob Taylor (view profile)

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 10 years ago

Omega by Nabeel Azar

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

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updated almost 17 years ago

riskcalc by Anatoly Ivanov

Risk Calculator (finance, modeling, analysis)

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