Plots gamma as a function of price and time for a portfolio of 10 Black-Scholes options.
Creates a three-dimensional plot showing how gamma changes relative to price for a Black-Scholes option.
Set up a basic asset allocation problem that uses mean-variance portfolio optimization with a Portfolio object to estimate efficient portfolios.
The following sequence of examples highlights features of the Portfolio object in the Financial Toolbox™. Specifically, the examples use the Portfolio object to show how to set up
Use the setBudget function for the Portfolio class to define the limits on the sum(AssetWeight _ i ) in risky assets.
Perform portfolio optimization using the Portfolio object in Financial Toolbox™.
Analyze the characteristics of a portfolio of equities, and then compares them with the efficient frontier. This example seeks to answer the question of how much closer can you get to the