FINANCIAL MODELS with MATLAB. PORTFOLIO Analysis and Optimization

MATLAB Financial Toolbox provides functions for mathematical modeling and statistical analysis of financial data. You can optimize portfolios of financial instruments, optionally taking into account turnover and transaction costs. The toolbox enables you to estimate risk, analyze interest rate levels, price equity and interest rate derivatives, and measure investment performance. Time series analysis capabilities let you perform transformations or regressions with missing data and...
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MATLAB Financial Toolbox provides functions for mathematical modeling and statistical analysis of financial data. You can optimize portfolios of financial instruments, optionally taking into account turnover and transaction costs. The toolbox enables you to estimate risk, analyze interest rate levels, price equity and interest rate derivatives, and measure investment performance. Time series analysis capabilities let you perform transformations or regressions with missing data and convert between different trading calendars and day-count conventions.The major themes developed in this book are:Charting Financial Data Analyzing and Computing Cash Flows Interest Rates/Rates of Return Present or Future Values Depreciation Annuities Pricing and Computing Yields for Fixed-IncomeSecurities Coupon Date Calculations Pricing Functions Yield Functions Fixed-Income Sensitivities Term Structure of Interest Rates Deriving an Implied Zero Curve Pricing and Analyzing Equity Derivatives Introduction Sensitivity Measures Analysis Models Analyzing Portfolios Portfolio Optimization Functions Portfolio Construction Examples Efficient Frontier Example Portfolio Selection and Risk Aversion Optimal Risky Portfolio Constraint Specification Linear Constraint Equations Active Returns and Tracking Error EfficientFrontier Mean-Variance Portfolio Optimization ToolsPortfolio Optimization Theory Portfolio Optimization Problems Portfolio Problem Specification Return Proxy Risk Proxy Portfolio Set for Portfolio Optimization Portfolio Object Portfolio Object Properties and Methods Working with Portfolio ObjectsSetting and Getting Properties Displaying Portfolio Objects Saving and Loading Portfolio Objects Estimating Efficient Portfolios and Frontiers Arrays of Portfolio Objects Subclassing Portfolio Objects Portfolio Problem Sufficiency Setting Up a List of Asset Identifiers Truncating and Padding Asset Lists Setting Up an Initial or Current Portfolio Asset Returns and Moments of Asset Returns Assignment Using the Portfolio Constructor Assignment Using the setAssetMoments Method Scalar Expansion of Arguments Estimating Asset Moments from Time Series Data Working with a Riskless Asset Working with Transaction Costs Working with Portfolio Constraints Setting Default Constraints for Portfolio Weights Working with Bound Constraints Working with Budget Constraints Working with Group Constraints Working with Group Ratio Constraints Working with Linear Equality Constraints Working with Linear Inequality Constraints Validate the Portfolio Problem Estimate Efficient Portfolios Estimate Efficient FrontiersAsset AllocationPortfolio Optimization Examples