Analyzing Investment Strategies with CVaR Portfolio Optimization
version 1.2.0.1 (687 KB) by
Bob Taylor
- 4 files
- 66 downloads
Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox.
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.
Comments and Ratings (8)
Updates
| 1.2.0.1 | Updated license |
|
| 1.2.0.0 | Final corrections. |
MATLAB Release Compatibility
Created with
R2012b
Compatible with any release
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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)