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Analyzing Investment Strategies with CVaR Portfolio Optimization

version (687 KB) by Bob Taylor
Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox.


Updated 01 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.

Comments and Ratings (8)

jie yang

kevin wang

Hao Sun

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?



Updated license

Final corrections.

MATLAB Release Compatibility
Created with R2012b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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