Rank: 328 based on 198 downloads (last 30 days) and 5 files submitted
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Bob Taylor

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The MathWorks, Inc.

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18 Dec 2012 Screenshot Analyzing Investment Strategies with CVaR Portfolio Optimization Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox. Author: Bob Taylor finance, portfolio, optimization, simulation, cvar, meanvariance 35 2
  • 4.0
4.0 | 2 ratings
03 May 2011 Screenshot Using MATLAB to Optimize Portfolios with Financial Toolbox Scripts and data to demonstrate the new Portfolio object in Financial Toolbox. Author: Bob Taylor backtesting, analysis, finance, optimization, modeling, portfolio 62 2
17 Nov 2009 Screenshot Using MATLAB to Develop Macroeconomic Models Analyze a stylized version of the Smets-Wouters model for the United States economy. Author: Bob Taylor econometrics, forecasting, econometrics toolbox, economics, macroeconomics, finance 31 5
  • 4.75
4.8 | 5 ratings
06 Dec 2006 Screenshot Using MATLAB to Develop Asset-Pricing Models Scripts to build and test Fama & French three-factor model. Author: Bob Taylor fama french, capm, finance, analysis, modeling, assetpricing 30 7
  • 3.25
3.2 | 4 ratings
30 Jan 2006 Screenshot Using MATLAB to Develop Portfolio Optimization Models Scripts to create time-evolving efficient frontiers and to backtest results. Author: Bob Taylor analysis, portfolio, optimization, modeling, dea, finance 40 11
  • 4.8
4.8 | 5 ratings
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10 Nov 2010 Using MATLAB to Develop Macroeconomic Models Analyze a stylized version of the Smets-Wouters model for the United States economy. Author: Bob Taylor

It would take a little effort set up a variance decomposition. Some of what you might need, however, is already in the code in vgxpred so I would suggest looking at the code as a start (particularly the lag operator C and the subsequent loop).
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16 Mar 2013 Analyzing Investment Strategies with CVaR Portfolio Optimization Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox. Author: Bob Taylor Sun, Hao

what's the usage of assigned= false

14 Mar 2013 Using MATLAB to Develop Portfolio Optimization Models Scripts to create time-evolving efficient frontiers and to backtest results. Author: Bob Taylor CFA, Nitin

I'm facing the same issue. I'm unable load the main file. Is it compatible with R2011a? any solutions?
06 Mar 2013 Using MATLAB to Develop Portfolio Optimization Models Scripts to create time-evolving efficient frontiers and to backtest results. Author: Bob Taylor Chen

Thanks
04 Mar 2013 Using MATLAB to Optimize Portfolios with Financial Toolbox Scripts and data to demonstrate the new Portfolio object in Financial Toolbox. Author: Bob Taylor salhi, oussama

Very good model
03 Jan 2013 Analyzing Investment Strategies with CVaR Portfolio Optimization Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox. Author: Bob Taylor Xiaolong

Total wealth doesn’t include the option position?

Your portfolio is stock + cash – call. But the wealth is calculated as the value of stock + cash, ignoring the call.

What is the justification of that? We simply exclude all the short positions?
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finance, analysis, modeling, optimization, portfolio
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(last 30 days) 		Comments Rating
18 Dec 2012 Screenshot Analyzing Investment Strategies with CVaR Portfolio Optimization Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox. Author: Bob Taylor finance, portfolio, optimization, simulation, cvar, meanvariance 35 2
  • 4.0
4.0 | 2 ratings
03 May 2011 Screenshot Using MATLAB to Optimize Portfolios with Financial Toolbox Scripts and data to demonstrate the new Portfolio object in Financial Toolbox. Author: Bob Taylor backtesting, analysis, finance, optimization, modeling, portfolio 62 2
17 Nov 2009 Screenshot Using MATLAB to Develop Macroeconomic Models Analyze a stylized version of the Smets-Wouters model for the United States economy. Author: Bob Taylor econometrics, forecasting, econometrics toolbox, economics, macroeconomics, finance 31 5
  • 4.75
4.8 | 5 ratings
06 Dec 2006 Screenshot Using MATLAB to Develop Asset-Pricing Models Scripts to build and test Fama & French three-factor model. Author: Bob Taylor fama french, capm, finance, analysis, modeling, assetpricing 30 7
  • 3.25
3.2 | 4 ratings
30 Jan 2006 Screenshot Using MATLAB to Develop Portfolio Optimization Models Scripts to create time-evolving efficient frontiers and to backtest results. Author: Bob Taylor analysis, portfolio, optimization, modeling, dea, finance 40 11
  • 4.8
4.8 | 5 ratings

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