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updated 13 days ago

Mean Variance Portfolio Optimization of S&P 500 Stocks by Moeti Ncube

Example Portfolio optimization that can be used for backtesting cross-sectional stock strategies (yahoo finance, portfolio optimizatio..., stock optimization)

agg_stocks(dte,ticker,lag)

get_stock_data(lag,d_agg,n_agg,m_agg,s_agg,z_agg)

getyahoo10(symbols, directory)

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updated 3 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

CVaR Portfolio Optimization by Seth DeLand

Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object (portfolio optimizatio..., cvar, conditional value at ...)

CVaRPortfolioOptimizationExample.m

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updated 1 year ago

Building and Extending Portfolio Optimization Models with MATLAB by sri

Object-oriented implementations of the Portfo and the Black-Litterman approach (portfolio optimizatio..., finance, object oriented progr...)

View(varargin)

compareWeights( ExcessHistoricalReturns, ExcessImpliedRet...

PortfolioBL

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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 2 years ago

Markowitz Efficient Frontier by Luca Beldi

Calculates the Markowitz Efficient Frontier (efficient frontier, mean standard deviati..., finance)

EfficientFrontier( Assets , NumPoints, LongOnly)

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updated 2 years ago

Efficient Frontier using different risk return measures by Saurabh Yadav

Code for finding optimal portfolios and plotting efficient frontier for diff. risk return measures (efficient frontier, portfolio optimizatio..., var)

Sharpe( weights )

mnvarratio( weights )

Efficient_frontiers.m

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updated 4 years ago

Speeding Up Optimization Problems with Parallel Computing by Stuart Kozola

Files from the webinar: Speeding up optimization problems with parallel computing (aerospace, automotive, demo)

Electron Problem Optimization

First Order Reliability Method using a Simulink Flutter M...

computebestportfolioPCT(expRet,expCov,portSize,targetRet)

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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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