Community Profile

Bob Taylor


The MathWorks, Inc.

12 total contributions since 2010

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Contributions in
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Submitted


Analyzing Investment Strategies with CVaR Portfolio Optimization
Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox.

3 months ago | 18 downloads |

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Submitted


Using MATLAB to Optimize Portfolios with Financial Toolbox
Scripts and data to demonstrate the new Portfolio object in Financial Toolbox.

3 months ago | 59 downloads |

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Submitted


Using MATLAB to Develop Macroeconomic Models
Analyze a stylized version of the Smets-Wouters model for the United States economy.

3 months ago | 18 downloads |

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Submitted


Using MATLAB to Develop Asset-Pricing Models
Scripts to build and test Fama & French three-factor model.

3 months ago | 25 downloads |

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Submitted


Using MATLAB to Develop Portfolio Optimization Models
Scripts to create time-evolving efficient frontiers and to backtest results.

3 months ago | 9 downloads |

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Responded


Re: fmincon: convergence and choice of algorithm
Matt - Your question has two parts - a finance and an optimization part. First, the finance part is that you have set up a port...

4 years ago | 4446 views

Responded


Re: yahoo stock data connection problem
A change occurred in Yahoo! Finance. We are aware of the problem and are working on a solution. For now, the proposed workaround...

5 years ago | 5179 views

Responded


Re: Deming Regression
Stephen - If I understand your question correctly, a submission exists on MATLAB Central File Exchange with the title "Linear Re...

6 years ago | 3365 views

Responded


Re: Optmisation problem
Steve's comment about portopt is correct for mean-variance portfolio optimization (the utility function is negative exponential ...

6 years ago | 1682 views

Responded


Re: PORTALLOC PROBLEMS
Anna - This problem may occur if the risk-free rate is much lower than the efficient frontier formed from risky assets. Assuming...

6 years ago | 3724 views

Posted


renaming financial time series objects
The function chfield will do what you want. - bob

6 years ago | 2640 views

Responded


Re: SOLVE 4 NONLINEAR EQUATIONS (HELP PLEASE)
You can set this up as a nonlinear optimization problem with fmincon. The variables to solve for are (a, b, Xc, Yc). You minimiz...

6 years ago | 1483 views