Analyzing Investment Strategies with CVaR Portfolio Optimization

Version 1.2.0.1 (687 KB) by Bob Taylor
Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox.
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Updated 1 Sep 2016

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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 (2024). 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 .

MATLAB Release Compatibility
Created with R2012b
Compatible with any release
Platform Compatibility
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Version Published Release Notes
1.2.0.1

Updated license
1.2.0.0

Final corrections.
1.0.0.0