Dan Owen, MathWorks
Standard asset allocation problems such as mean variance or conditional value-at-risk can be easily developed and solved using MATLAB® and Financial Toolbox™. Other portfolio construction methods that may have a custom risk measurement or satisfy a different trading style or mandate can also be solved using MATLAB and toolboxes such as Optimization Toolbox™.
Many modern investors are following a new approach called Smart Beta - finding alternative weights for indices that are not based around market capitalization. One of these approaches is risk parity, where a portfolio is constructed with each asset having equal contributions to total portfolio risk.
Featured Product
Select a Web Site
Choose a web site to get translated content where available and see local events and offers. Based on your location, we recommend that you select: .
Select web siteYou can also select a web site from the following list:
Select the China site (in Chinese or English) for best site performance. Other MathWorks country sites are not optimized for visits from your location.