Optimization in MATLAB for Financial Applications

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Seth DeLand, MathWorks

In this session, you will learn about the different tools available for optimization in MATLAB. We demonstrate how you can use Optimization Toolbox™ and Global Optimization Toolbox to solve a wide variety of optimization problems. You will learn best practices for setting up and solving optimization problems, as well as how to speed up optimizations with parallel computing.

Topics include:

  • Solving nonlinear optimization problems with nonlinear constraints
  • Setting up and running portfolio optimizations using tools for mean-variance and conditional value-at-risk optimization
  • Finding better solutions to multiple minima and non-smooth problems using global optimization
  • Using Symbolic Math Toolbox to automatically calculate objective function gradients

Product Focus

  • Optimization Toolbox
  • Financial Toolbox

Recorded: 22 Aug 2013