Course Highlights

MATLAB for Portfolio Optimization is a one-day course on using the MATLAB® software to effectively optimize a portfolio based on risk versus reward analysis. This hands-on course will walk the student through the process of importing asset values, portfolio creation and optimization, as well as analysis of portfolio robustness. Topics include:

• Importing data from a database
• Importing data from a datafeed
• Visualization and statistical analysis of data
• Minimizing portfolio volatility
• Generating the Efficient Frontier
• Backtesting of portfolios
• Maximum drawdown as a measure of risk
• Genetic algorithms and multi-objective optimization

Who Should Attend

Existing and prospective MATLAB users involved in financial services research, data analysis, and modeling.

Course Benefits

Upon the completion of the course, the participants will gain a comprehensive understanding of MATLAB as a programming language and data analysis environment which is essential and useful for designing and building financial systems.

Prerequisites

No prior knowledge of MATLAB is required. Familiarity with basic computer operations is recommended.

Course Outline

Day 1

Introduction
Objective: Understand The MathWorks products and the goals of this course.

• Company introduction
• MATLAB product family
• Using MATLAB for Portfolio Optimization
• Course overview
• Exercises and examples CD

Portfolio Optimization and Analysis