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.
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 .
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?