1:03:00
Video length is 1:03:00
Optimization in MATLAB for Financial Applications
In this session, you will learn about the different tools available for optimization in MATLAB. We demonstrate how you can use Optimization Toolbox™ and Global Optimization Toolbox to solve a wide variety of optimization problems. You will learn best practices for setting up and solving optimization problems, as well as how to speed up optimizations with parallel computing.
Topics include:
- Solving nonlinear optimization problems with nonlinear constraints
- Setting up and running portfolio optimizations using tools for mean-variance and conditional value-at-risk optimization
- Finding better solutions to multiple minima and non-smooth problems using global optimization
- Using Symbolic Math Toolbox to automatically calculate objective function gradients
Recorded: 22 Aug 2013
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