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Alejandra Pena-Ordieres

MathWorks

Last seen: 20 giorni fa |  Attivo dal 2021

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backtestStrategy non-sensical example under backtest investment strategies help center page
The backtest engine utilizes past data to estimate the mean and covariance matrix needed to find the maximum Sharpe ratio portfo...

2 mesi fa | 0

Risposto
CVaR Portfolio Optimization without copulas
Hi Agne, The PortfolioCVaR object uses a sample of returns to compute the condiitonal value-at-risk of the portfolio. In other ...

3 mesi fa | 0

Risposto
Active overweight constraint in portCons
Hi Deepak, First, I'd recommend using the Portfolio object instead of portcons. The Portfolio object is the most up-to-date fun...

3 mesi fa | 0

Risposto
Portfolio Optimisation using a mean/ mean absolute deviation model (linear program)
You can use the PortfolioMAD functionality to compute optimal portfolios using the mean-absolute devaition as the risk measure. ...

6 mesi fa | 0

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variance of portfolio as objective function
To set up the variance as the objective, you can use estimateFrontierLimits with the optional input 'min' or estimateFrontierByR...

6 mesi fa | 0

Risposto
How to calculate minimum variance portfolio with constraints?
Hello, If you want to use a risk-free asset to leverage the portfolio, you can use the Portfolio object in MATLAB to achieve wh...

6 mesi fa | 0

Risposto
For loop with moving window
Hello, You might want to consider using the backtesting workflow available in the Financial Toolbox, Backtest Investment Strate...

7 mesi fa | 0

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How to Find a Portfolio with the Highest Sharpe Ratio?
Hello, The Financial Toolbox has a funtion that does exaclty what you are looking for, estimateMaxSharpeRatio. Your workflow wo...

quasi 2 anni fa | 0

Risposto
How do I find the global minimum variance portfolio?
Hi Calum, I understand that you want to find the minimum variance portfolio. You can do this in two ways. 1) The easiest way i...

circa 3 anni fa | 0

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How to get the Minimum Variance Portfolio?
Hi Jean-Gabriel, I am not sure I fully understand the problem. If you impose an equally-weighted "hard" constraint to the mini...

circa 3 anni fa | 0

Risposto
How to find tangency portfolio (maximize sharpe ratio) using quadprog
Hi Guro, I understand that you are trying to find the maximum Sharpe ratio portfolio using quadprog. Theoretically, the max Sha...

circa 3 anni fa | 1

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