Using MATLAB to Optimize Portfolios with Financial Toolbox

Bob Taylor, MathWorks

Learn how Financial Toolbox can be used to solve asset allocation and portfolio optimization problems that include transaction costs and turnover constraints.  In this webinar, we will discuss the new object-oriented portfolio tools introduced with the R2011a release of Financial Toolbox.  Short examples will illustrate the new features followed with case studies that demonstrate how to customize the tools for different tasks, including Sharpe ratio optimization, and 130/30 portfolios.

View the MATLAB Code

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

Product Focus

  • Financial Toolbox

Recorded: 3 May 2011