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Portfolio optimization -- estimateCustomObjectivePortfolio equivalent in R2021b?
Hello, Since target duration can be added as a linear equality constraint, you can still use the Portfolio object. You won't ne...
Portfolio optimization -- estimateCustomObjectivePortfolio equivalent in R2021b?
Hello, Since target duration can be added as a linear equality constraint, you can still use the Portfolio object. You won't ne...
7ヶ月 前 | 0
回答済み
backtestStrategy non-sensical example under backtest investment strategies help center page
The backtest engine utilizes past data to estimate the mean and covariance matrix needed to find the maximum Sharpe ratio portfo...
backtestStrategy non-sensical example under backtest investment strategies help center page
The backtest engine utilizes past data to estimate the mean and covariance matrix needed to find the maximum Sharpe ratio portfo...
11ヶ月 前 | 0
回答済み
CVaR Portfolio Optimization without copulas
Hi Agne, The PortfolioCVaR object uses a sample of returns to compute the condiitonal value-at-risk of the portfolio. In other ...
CVaR Portfolio Optimization without copulas
Hi Agne, The PortfolioCVaR object uses a sample of returns to compute the condiitonal value-at-risk of the portfolio. In other ...
11ヶ月 前 | 0
回答済み
Active overweight constraint in portCons
Hi Deepak, First, I'd recommend using the Portfolio object instead of portcons. The Portfolio object is the most up-to-date fun...
Active overweight constraint in portCons
Hi Deepak, First, I'd recommend using the Portfolio object instead of portcons. The Portfolio object is the most up-to-date fun...
11ヶ月 前 | 0
回答済み
Portfolio Optimisation using a mean/ mean absolute deviation model (linear program)
You can use the PortfolioMAD functionality to compute optimal portfolios using the mean-absolute devaition as the risk measure. ...
Portfolio Optimisation using a mean/ mean absolute deviation model (linear program)
You can use the PortfolioMAD functionality to compute optimal portfolios using the mean-absolute devaition as the risk measure. ...
約1年 前 | 0
回答済み
variance of portfolio as objective function
To set up the variance as the objective, you can use estimateFrontierLimits with the optional input 'min' or estimateFrontierByR...
variance of portfolio as objective function
To set up the variance as the objective, you can use estimateFrontierLimits with the optional input 'min' or estimateFrontierByR...
約1年 前 | 0
回答済み
How to calculate minimum variance portfolio with constraints?
Hello, If you want to use a risk-free asset to leverage the portfolio, you can use the Portfolio object in MATLAB to achieve wh...
How to calculate minimum variance portfolio with constraints?
Hello, If you want to use a risk-free asset to leverage the portfolio, you can use the Portfolio object in MATLAB to achieve wh...
約1年 前 | 0
回答済み
For loop with moving window
Hello, You might want to consider using the backtesting workflow available in the Financial Toolbox, Backtest Investment Strate...
For loop with moving window
Hello, You might want to consider using the backtesting workflow available in the Financial Toolbox, Backtest Investment Strate...
1年以上 前 | 0
回答済み
How to Find a Portfolio with the Highest Sharpe Ratio?
Hello, The Financial Toolbox has a funtion that does exaclty what you are looking for, estimateMaxSharpeRatio. Your workflow wo...
How to Find a Portfolio with the Highest Sharpe Ratio?
Hello, The Financial Toolbox has a funtion that does exaclty what you are looking for, estimateMaxSharpeRatio. Your workflow wo...
2年以上 前 | 0
回答済み
How do I find the global minimum variance portfolio?
Hi Calum, I understand that you want to find the minimum variance portfolio. You can do this in two ways. 1) The easiest way i...
How do I find the global minimum variance portfolio?
Hi Calum, I understand that you want to find the minimum variance portfolio. You can do this in two ways. 1) The easiest way i...
4年弱 前 | 0
回答済み
How to get the Minimum Variance Portfolio?
Hi Jean-Gabriel, I am not sure I fully understand the problem. If you impose an equally-weighted "hard" constraint to the mini...
How to get the Minimum Variance Portfolio?
Hi Jean-Gabriel, I am not sure I fully understand the problem. If you impose an equally-weighted "hard" constraint to the mini...
4年弱 前 | 0
回答済み
How to find tangency portfolio (maximize sharpe ratio) using quadprog
Hi Guro, I understand that you are trying to find the maximum Sharpe ratio portfolio using quadprog. Theoretically, the max Sha...
How to find tangency portfolio (maximize sharpe ratio) using quadprog
Hi Guro, I understand that you are trying to find the maximum Sharpe ratio portfolio using quadprog. Theoretically, the max Sha...
4年弱 前 | 1
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