Analyzing Investment Strategies with CVaR Portfolio Optimization in MATLAB

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.