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
Note: A 1 hour test session will be scheduled one day prior to the first day of class. This session is to verify that the visual and audio connection is working properly on your computer. The required product software should be installed for the test session. It is highly recommended that you attend this session to ensure a successful and timely class start.
VIEW SCHEDULE and Register SHARE with Manager/Colleague| Detailed course outline |
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| Day 1 | |
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| 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
MATLAB Fundamentals for Financial Applications
Course Length -
