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updated 2 days ago

FQuantToolBox V1.3[NoHistData] byLY_faruto by faruto


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




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updated 3 months ago

Financier by Reza Rahemi

Reza Rahemi

Financial portfolio management (finance, portfolio, optimization)

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updated 5 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

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


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updated 2 years ago

Analyzing Investment Strategies with CVaR Portfolio Optimization by Bob Taylor

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 2 years ago

Parametric Value At Risk by David Willingham

David Willingham

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



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updated 2 years ago

Historical Value At Risk by David Willingham

David Willingham

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



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updated almost 3 years ago

Simple Portfolio Optimization Methods by Semin Ibisevic

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)


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updated almost 4 years ago

Using MATLAB to Optimize Portfolios with Financial Toolbox by Bob Taylor

Bob Taylor

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




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updated 4 years ago

Example of Volatility Pumping by Edward Grace

Edward Grace

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


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updated 9 years ago

Using MATLAB to Develop Portfolio Optimization Models by Bob Taylor

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 10 years ago

Omega by Nabeel Azar

Nabeel Azar

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

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updated 16 years ago

riskcalc by Anatoly Ivanov

Anatoly Ivanov

Risk Calculator (finance, modeling, analysis)

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