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FI01: MATLAB for Portfolio Optimization |
MATLAB for Portfolio Optimization is a one-day course on using the MATLAB® software to effectively optimize a portfolio based on risk versus reward analysis. This hands-on course will walk the student through the process of importing asset values, portfolio creation and optimization, as well as analysis of portfolio robustness. Topics include:
- Importing data from a database
- Importing data from a datafeed
- Visualization and statistical analysis of data
- Minimizing portfolio volatility
- Generating the Efficient Frontier
- Backtesting of portfolios
- Maximum drawdown as a measure of risk
- Genetic algorithms and multi-objective optimization
| Detailed course outline |
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| Day 1 of 1 | |
|---|---|
| Introduction | Objective: Understand The MathWorks products and the goals of this course.
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| Portfolio Optimization and Analysis | Objective: Introduce the student to the various tools needed for portfolio optimization and analysis in MATLAB.
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Prerequisites
The pre-requisite for this course is MATLAB Fundamentals and Programming Techniques for Financial Applications (ML01-F) or equivalent experience using MATLAB.
Course Length - 1 day
Price - $650.00
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