Global Tactical Asset Allocation and Portfolio Construction with MATLAB

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The investment universe has been defined as seven developed economies and three asset classes, which are stocks, government bonds, and foreign currencies. The alpha strategy is a multifactor model based on valuation, growth, price dynamics, and intermarket action. Each relative value view has been updated monthly and stacked together to input to Black-Litterman portfolio optimization. The performance of long-short portfolio has been back-tested and analyzed. Both alpha model and portfolio construction are programmed using MATLAB.

Product Focus

  • MATLAB
  • Financial Toolbox
  • Trading Toolbox
  • Datafeed Toolbox

Recorded: 9 Apr 2014