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Analyzing Investment Strategies with CVaR Portfolio Optimization in MATLAB

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Bob Taylor, MathWorks

In this webinar, you will learn how to use MATLAB to verify and validate complex investment strategies.  The approach seeks to model an event-driven strategy through Monte Carlo simulation at the instrument level, and to use the portfolio optimization tools - specifically the Conditional Value-at-Risk tools - to identify optimal trading strategies at the portfolio level.

In particular, the case study in this webinar determines the conditions needed to successfully implement a covered-call or buy-write strategy. Through simulation and subsequent optimization, it is possible to conclude that covered-call strategies are appropriate under a limited and unexpected set of circumstances.

At a higher level, this webinar demonstrates a workflow to analyze general investment strategies that exploits the powerful features available in the MATLAB environment.

Webinar highlights:
• Conditional Value-at-Risk portfolio optimization
• Monte Carlo simulation
• Event-driven strategy modeling

About the Presenter: Bob Taylor is a developer at MathWorks for computational finance products.

View example code from this webinar here:

Product Focus

  • Financial Toolbox
  • Datafeed Toolbox
  • Optimization Toolbox

Recorded: 13 Dec 2012