Training - Courses

MLFO: 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

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	Detailed course outline

Day 1 of 1

Introduction

Objective: Understand The MathWorks products and the goals of this course.

Company introduction
MATLAB product family
Using MATLAB for Portfolio Optimization
Course overview
Exercises and examples CD

Portfolio Optimization and Analysis

Objective: Introduce the student to the various tools needed for portfolio optimization and analysis in MATLAB.

Importing data from a database
Importing data from Yahoo! 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

Prerequisites

MATLAB Fundamentals for Financial Applications

Course Length -