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MATLAB Financial tool-box optimises portfolios

Posted: 09 May 2011     Print Version  Bookmark and Share

Keywords:portfolio optimisation  transaction cost  asset allocation 

MathWorks reveals a portfolio optimisation object in its Financial Tool-box in the 2011a release of MATLAB designed for portfolio managers and analysts that includes methods to incorporate turnover and transaction costs into portfolio analyses.

These capabilities support the practical needs of investment managers while facilitating use of technologically advanced portfolio optimisation and asset allocation algorithms.

Enhancements to other MathWorks products for financial engineers include 'datainsert' function in Database Toolbox, which speeds up writing to a financial database by an order of magnitude. There is also large-scale quadratic programming algorithm in Optimisation Toolbox, which facilitates optimisation of larger portfolios.

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