Building and Extending Portfolio Optimization Models with MATLAB

버전 1.0.0.1 (829 KB) 작성자: sri
Object-oriented implementations of the Portfo and the Black-Litterman approach

다운로드 수: 2.5K

업데이트 날짜: 2016/9/1

라이선스 보기

Quantitative asset management companies have long struggled with the decision on whether to build portfolio optimization models or buy off-the-shelf packages. To cater to their ever changing investment and risk management needs, portfolio management groups are striving to build robust portfolio management solutions that are transparent, easy to adopt and are easily extendible. At MathWorks, we have worked with many portfolio management groups who have adopted MATLAB and associated toolboxes to build portfolio management systems. These groups like the flexibility of building and extending models in an environment that is transparent, robust and customizable. They also like the ability to try out new research ideas with minimal effort before using these models in their investment decision making process. In this article, we will discuss the various portfolio optimization functions that are available in MATLAB and the Financial Toolboxes. In particular, we will focus on the new object-oriented approach to construct portfolios and discuss how this architecture lends easily to build and extend applications. We will discuss the object-oriented implementations of the Portfolio objects in MATLAB and then demonstrate through a case study a sample implementation of the Black-Litterman optimization approach . We will illustrate how the out-of-the box portfolio functionality can be easily extended to implement alternate portfolio construction approaches.

인용 양식

sri (2022). Building and Extending Portfolio Optimization Models with MATLAB (https://www.mathworks.com/matlabcentral/fileexchange/41593-building-and-extending-portfolio-optimization-models-with-matlab), MATLAB Central File Exchange. 검색됨 .

MATLAB 릴리스 호환 정보
개발 환경: R2013a
모든 릴리스와 호환
플랫폼 호환성
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!