Building Portfolio Optimization Applications with MATLAB

One day workshop at Boston Security Analysts Society, Boston, February 1, 2013


Quantitative tools have significantly penetrated the asset management industry in the last decade. In addition to traditional tools like Excel, analysts have started to rely on higher-level languages like MATLAB to build robust quantitative applications. Companies are increasingly building custom applications to meet their client-specific needs and to implement original research ideas.

In this workshop we will introduce the MATLAB environment and discuss how MATLAB can be used to build portfolio applications. With the help of case studies, we will illustrate how to build, analyze and optimize portfolios. We will also illustrate how to extend these applications to implement enhancements such as CVAR optimization and Black-Litterman optimization. In addition, we will illustrate how MATLAB can seamlessly connect to Excel, databases and to data sources such as Bloomberg and Reuters.