Optimal Portfolio

OpenDiscreteDynamicProgrammingTemplate project founds optimal constrainted parameters of a discrete controls with second order optimization template replacing Hessian with directional derivatives and backpropagation for digital filter(as neural network).. OpenDiscreteDynamicProgrammingTemplate:...

Finance::BeanCounter is a Perl module for stock portfolio performance functions. Finance::BeanCounter provides functions to download, store and analyse stock market data. Downloads are available of current (or rather: 15 or 20 minute-delayed) price and company data as well as of historical...

PortfolioTracker helps you track and manage your stock portfolio of Euronext shares in realtime (15 delay). Assess your stock positions (price, daychange, gain, gain%, value, weight%) with one command. Portfolio changes are easy maintained in a text file. Example of generated output:...


Platforms: *nix

Real Cut 1D is a computer program used for obtaining optimal cutting designs of one dimensional pieces which may have angles different of 90 degrees at both extremities. You can use Real Cut 1D to cut linear pieces such as bars, pipes, tubes, steel bars, etc.


Platforms: Windows

DAXA-Chart Privat is a freeware German program for analyzing and charting shares and portfolio management. Powerful yet easy to use, it is supplied with an initial database of 120 German stocks. Download further stockmarket price updates from our homepage for free.


Platforms: Windows

The algorithm computes the optimal route from a fixed predetermined starting point to all other cities without returning to the starting point. Requirements: - MATLAB 7.6 or higher


Platforms: Windows, Mac, *nix, Matlab, BSD Solaris

A .zip file contains a series of scripts that were used in the MathWorks webinar "Using MATLAB to Develop Portfolio Optimization Models." The scripts generate 3D efficient frontiers for a universe of 44 stocks with time as the third axis. Additional scripts perform various ex-ante and ex-post...


Platforms: Matlab

function [optN, C, N] = sshist(x,N) [optN, C, N] = sshist(x,N) Function `sshist' returns the optimal number of bins in a histogram used for density estimation. Optimization principle is to minimize expected L2 loss function between the histogram and an unknown underlying density function. An...


Platforms: Matlab

The self-contained script demonstrates excess, volatility driven growth, in a rebalanced portfolio.Based on the paper "Benchmarking and Rebalancing" by Gabay and Herlemont, yats.com, 19 Septembre 2007, this script reproduces example 1, showing the long-term rebalancing excess growth rate g*.There...


Platforms: Matlab

It is desired for modern process systems to achieve optimal operation. However, operation at a pre-designed nominally optimal point may not necessarily be actually optimal due to realtime disturbances, measurement and control errors and uncertainties. Self-optimizing control aims to tackle this...


Platforms: Matlab

We use the power of symbolic toolbox in order to find the optimal point in an arbitrary multivariate functionChange the following code based on your objective function and run the programFunction F in Symbolic Formata='(x1^2+x2-11)^2+(x1+x2^2-7)^2';The code will iterate and converge to x and y of...


Platforms: Matlab

This function uses the auction principle to return the optimal assignment and the dual prices. It performs quite well, and is way faster than the hungarian algorithm as the number of points increases. More details on the auction algorithm can be found on D. Bertsekas homepage...


Platforms: Matlab

A point X* is said to be Pareto optimal one if there is no X such that Fi(X)


Platforms: Matlab

The code was generated according toT.S. Durrani, and R. Chapman. Optimal All-Pole Filter Design Based on Discrete Prolate Spheroidal Sequences. IEEE Transactions on Acoustics, Speech and Signal processing, Vol ASSP-32, No.4, August 1984.This filter design uses discrete prolate spheroidal...


Platforms: Matlab

Software associated with the paper:L.G. van Willigenburg, W.L. De Koning, 2000, "Finite and infinite horizon fixed-order LQG compensation using the delta operator", Proceedings UKACC International Conference on Control 2000, 4-7 September, Cambridge, UK,...


Platforms: Matlab

The report tries to provide both investors and fund manager with statistical technique to manage there investment and portfolio to creat long term benefits.


Platforms: Matlab

Value-at-Risk calculation for portfolio stocks using variance-covariance, historical and MonteCarlo methods. Portfolio can be larger as you want including either the risk factor (stock index, currency, etc.)


Platforms: Matlab

In this set of files, I propose a simple CPPI (Constant Proportion Portfolio insurance) implementation. One can run the backtesting of such a strategy, playing with the parameters of the strategy such as Multiplier (Risk Exposure), or Smoothing factor.A set of slides brifly reminf the basics of a...


Platforms: Matlab

Return the optimal path given the adjacency/cost sparse matrix and source/destination nodes.Run mexme_dijkstra.m to compile mex-files on your own-plateformRun test_dijkstra.m for the demo


Platforms: Matlab

This M-file is designed to compute a Linear Quadratic optimal output feeback controller for discrete-time systems.


Platforms: Matlab