Optimization in MATLAB for Financial Applications

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