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)

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

Historical Value At Risk by David Willingham

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

computeHistoricalVaR(returns,confidence_level,plot_flag)

examplehistvar.m

survivePortfolio by mono

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

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

Simple Portfolio Optimization Methods by Semin Ibisevic

Myopic, Constant or Buy-and-Hold and Dynamic Strategies to calculate the optimal portfolio weight. (asset allocation, monte carlo, simulation)

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

optMyopic(returns, gamma, rf, accuracy)

simBellman(n,k,param)

Using MATLAB to Optimize Portfolios with Financial Toolbox by Bob Taylor

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

part1_plot(varargin)

PortfolioDemo

part1_intro.m

Example of Volatility Pumping by Edward Grace

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

ejg_volatility_pumping.m

Developing Portfolio Optimization Models by Linda Webb

Use MATLAB and Financial Toolbox to construct realistic, optimal portfolios that are stable over tim (article, datafeed toolbox, financial toolbox)

Using MATLAB to Develop Portfolio Optimization Models by Bob Taylor

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

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

ecmninit(Data, InitMethod)

ecmnmle(Data, InitMethod, MaxIter, Tolerance, Mean0, Covar0...

Omega by Nabeel Azar

Computes the omega value of a portfolio. (risk, sharpe, analysis)

omega(returns,targets)

PortOpt by Jim Stewart

Using Excel Builder and VBA to create a custom application for Microsoft Excel. (excel, external interface, optimization)

riskcalc by Anatoly Ivanov

Risk Calculator (analysis, risk, finance)