Rank: 435 based on 230 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 36 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 portfolio, optimization, finance, analysis, modeling, backtesting 80 9
  • 4.5
4.5 | 4 ratings
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, macroeconomics, time series analysis, forecasting, economics, finance 46 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 finance, modeling, analysis, fama french, capm, assetpricing 28 8
  • 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 finance, modeling, analysis, portfolio, optimization, dea 40 11
  • 4.66667
4.7 | 6 ratings
Comments and Ratings by Bob View all
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12 Apr 2014 Using MATLAB to Optimize Portfolios with Financial Toolbox Scripts and data to demonstrate the new Portfolio object in Financial Toolbox. Author: Bob Taylor

The webinar and scripts illustrate various ways to implement portfolio optimization under an assumption that you already have the data you need (gathering, managing, scrubbing, and forming total returns data can be a messy or easy process depending upon which data sources you might be able to access). The MATLAB Datafeed Toolbox has a good selection of sources although some sources require that you to have a license to obtain such data.

The BlueChipStocks file contains monthly total return data for 44 stocks, 1 market index, and 1 cash index. These data are in the variable Data with corresponding asset identifiers in the variable Asset and (month-end) dates in the variable Date. The last variable Map contains indicators that match the pattern of Data to identify which assets were in the universe on a given date.

If you have monthly total return data, you should be able to modify these four variables to suit your requirements and the scripts ought to work with minor modification (for example, you would have to specify the time period for backtests and so forth).

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).

Comments and Ratings on Bob's Files View all
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04 Aug 2014 Using MATLAB to Optimize Portfolios with Financial Toolbox Scripts and data to demonstrate the new Portfolio object in Financial Toolbox. Author: Bob Taylor Hua

Dear Bob Taylor,

Could you please help me with this question.

How could I find out for what the risk is for a given target return? (line 130)
I can look at the graph and make an estimation but is there a way to output the exact number??

Also I am working on daily data and plotting an efficient frontier for every three month. would it still work?

I look forward to hear back from you, any help will be high appreciated.

Hua

06 May 2014 Using MATLAB to Optimize Portfolios with Financial Toolbox Scripts and data to demonstrate the new Portfolio object in Financial Toolbox. Author: Bob Taylor Narek

13 Apr 2014 Using MATLAB to Develop Asset-Pricing Models Scripts to build and test Fama & French three-factor model. Author: Bob Taylor Tim

errors occur when loading universe in Matlab Student 2013b

12 Apr 2014 Using MATLAB to Optimize Portfolios with Financial Toolbox Scripts and data to demonstrate the new Portfolio object in Financial Toolbox. Author: Bob Taylor Taylor, Bob

The webinar and scripts illustrate various ways to implement portfolio optimization under an assumption that you already have the data you need (gathering, managing, scrubbing, and forming total returns data can be a messy or easy process depending upon which data sources you might be able to access). The MATLAB Datafeed Toolbox has a good selection of sources although some sources require that you to have a license to obtain such data.

The BlueChipStocks file contains monthly total return data for 44 stocks, 1 market index, and 1 cash index. These data are in the variable Data with corresponding asset identifiers in the variable Asset and (month-end) dates in the variable Date. The last variable Map contains indicators that match the pattern of Data to identify which assets were in the universe on a given date.

If you have monthly total return data, you should be able to modify these four variables to suit your requirements and the scripts ought to work with minor modification (for example, you would have to specify the time period for backtests and so forth).

08 Apr 2014 Using MATLAB to Optimize Portfolios with Financial Toolbox Scripts and data to demonstrate the new Portfolio object in Financial Toolbox. Author: Bob Taylor Habib, CFA, Arslan

The question is how to create the file named bluechipstocks. Please help. I am stuck at this point and its useless I can not define my stocks and time period my choice. Any help will he highly appreciated. You can also send email at arslanhabbib@gmail.com

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