Analyzing Investment Strategies with CVaR Portfolio Optimization
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A .zip file contains a series of scripts that were used in the MathWorks webinar "Analyzing Investment Strategies with CVaR Portfolio Optimization in MATLAB." The scripts demonstrate features of the PortfolioCVaR and Portfolio objects for normative analysis of a covered-call strategy. A readme.txt. file in the .zip folder describes how to use the scripts.
Cite As
Bob Taylor (2019). Analyzing Investment Strategies with CVaR Portfolio Optimization (https://www.mathworks.com/matlabcentral/fileexchange/39449-analyzing-investment-strategies-with-cvar-portfolio-optimization), MATLAB Central File Exchange. Retrieved .
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| 1.2.0.1 | Updated license |
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| 1.2.0.0 | Final corrections. |
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Rainiero Calpe (view profile)
Robert Henson (view profile)
jie yang (view profile)
kevin wang (view profile)
Anastasios Ioannidis (view profile)
Hao Sun (view profile)
what's the usage of assigned= false
Xiaolong (view profile)
Total wealth doesn’t include the option position?
Your portfolio is stock + cash – call. But the wealth is calculated as the value of stock + cash, ignoring the call.
What is the justification of that? We simply exclude all the short positions?
Xiaolong (view profile)