MathWorks - Mobile View
  • Accedere al proprio MathWorks AccountAccedere al proprio MathWorks Account
  • Access your MathWorks Account
    • Il Mio Account
    • Il mio Profilo utente
    • Associa Licenza
    • Disconnettiti
  • Prodotti
  • Soluzioni
  • Università
  • Assistenza
  • Community
  • Eventi
  • Acquista MATLAB
MathWorks
  • Prodotti
  • Soluzioni
  • Università
  • Assistenza
  • Community
  • Eventi
  • Acquista MATLAB
  • Accedere al proprio MathWorks AccountAccedere al proprio MathWorks Account
  • Access your MathWorks Account
    • Il Mio Account
    • Il mio Profilo utente
    • Associa Licenza
    • Disconnettiti

Video e Webinar

  • MathWorks
  • Video
  • Home Video
  • Cerca
  • Home Video
  • Cerca
  • Contattaci
  • Software di prova
  Register to watch video
  • Description
  • Related Resources

Analyzing Investment Strategies with CVaR Portfolio Optimization in MATLAB

Bob Taylor, MathWorks

In this webinar, you will learn how to use MATLAB to verify and validate complex investment strategies.  The approach seeks to model an event-driven strategy through Monte Carlo simulation at the instrument level, and to use the portfolio optimization tools - specifically the conditional value-at-risk tools - to identify optimal trading strategies at the portfolio level.

In particular, the case study in this webinar determines the conditions needed to successfully implement a covered-call or buy-write strategy. Through simulation and subsequent optimization, it is possible to conclude that covered-call strategies are appropriate under a limited and unexpected set of circumstances.

At a higher level, this webinar demonstrates a workflow to analyze general investment strategies that exploits the powerful features available in the MATLAB environment.

Webinar highlights:
• Conditional Value-at-Risk portfolio optimization
• Monte Carlo simulation
• Event-driven strategy modeling

About the Presenter: Bob Taylor is a developer at MathWorks for computational finance products.

View example code from this webinar.

Recorded: 13 Dec 2012

Related Products

  • Financial Toolbox
  • Datafeed Toolbox
  • Optimization Toolbox

Feedback

Featured Product

Financial Toolbox

  • Request Trial
  • Get Pricing

Up Next:

4:12
Getting Started with Portfolio Optimization

Related Videos:

49:45
"The Prayer" - Ten-Step Checklist for Advanced Risk and...
54:36
Forecasting Corporate Default Rates with MATLAB
55:12
MATLAB for R Users in Computational Finance
43:59
Introduction to Computational Finance with MATLAB: A Risk...

View more related videos

MathWorks - Domain Selector

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 site

You can also select a web site from the following list:

How to Get Best Site Performance

Select the China site (in Chinese or English) for best site performance. Other MathWorks country sites are not optimized for visits from your location.

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
    • Deutsch
    • English
    • Français
  • United Kingdom (English)

Asia Pacific

  • Australia (English)
  • India (English)
  • New Zealand (English)
  • 中国
    • 简体中文Chinese
    • English
  • 日本Japanese (日本語)
  • 한국Korean (한국어)

Contact your local office

  • Contattaci
  • Software di prova

Scopri i nostri prodotti

  • MATLAB
  • Simulink
  • Software per studenti​
  • Supporto hardware
  • File Exchange

Prova o Acquista

  • Download
  • Software di prova
  • Contattaci
  • Prezzi e licenze
  • Come acquistare

Impara ad utilizzare i nostri prodotti

  • Documentazione
  • Tutorial
  • Esempi
  • Video e Webinar
  • Formazione

Ricevi supporto tecnico

  • Aiuto all'installazione
  • Risposte​
  • Consulenza
  • License Center
  • Contatta l'assistenza

Informazioni su MathWorks

  • Lavora con noi
  • Sala stampa
  • Missione sociale​
  • Contattaci
  • Informazioni su MathWorks

MathWorks

Accelerating the pace of engineering and science

MathWorks è leader nello sviluppo di software per il calcolo matematico per ingegneri e ricercatori

Scopri…

  • Select a Web Site United States
  • Brevetti
  • Marchi
  • Informativa sulla privacy
  • Antipirateria
  • Stato dell'applicazione

© 1994-2021 The MathWorks, Inc.

  • Facebook
  • Twitter
  • Instagram
  • YouTube
  • LinkedIn
  • RSS

Unisciti alla discussione

This website uses cookies to improve your user experience, personalize content and ads, and analyze website traffic.  By continuing to use this website, you consent to our use of cookies.  Please see our Privacy Policy to learn more about cookies and how to change your settings.