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Optimization in MATLAB for Financial Applications


Seth DeLand, MathWorks

In this session, you will learn about the different tools available for optimization in MATLAB. We demonstrate how you can use Optimization Toolbox™ and Global Optimization Toolbox to solve a wide variety of optimization problems. You will learn best practices for setting up and solving optimization problems, as well as how to speed up optimizations with parallel computing.

Topics include:

  • Solving nonlinear optimization problems with nonlinear constraints
  • Setting up and running portfolio optimizations using tools for mean-variance and conditional value-at-risk optimization
  • Finding better solutions to multiple minima and non-smooth problems using global optimization
  • Using Symbolic Math Toolbox to automatically calculate objective function gradients


  • Optimization Toolbox
  • Financial Toolbox

録画: 2013年8月22日