Analyzing Investment Strategies with CVaR Portfolio Optimization
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 (2021). 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 .
Comments and Ratings (9)
MATLAB Release Compatibility
Platform Compatibility
Windows macOS LinuxCategories
Tags
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!Discover Live Editor
Create scripts with code, output, and formatted text in a single executable document.
source/
Select a Web Site
Choose a web site to get translated content where available and see local events and offers. Based on your location, we recommend that you select: .
Select web siteYou can also select a web site from the following list:
Americas
- América Latina (Español)
- Canada (English)
- United States (English)
Europe
- Belgium (English)
- Denmark (English)
- Deutschland (Deutsch)
- España (Español)
- Finland (English)
- France (Français)
- Ireland (English)
- Italia (Italiano)
- Luxembourg (English)
- Netherlands (English)
- Norway (English)
- Österreich (Deutsch)
- Portugal (English)
- Sweden (English)
- Switzerland
- United Kingdom (English)
what's the usage of assigned= false
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?