Optimization in MATLAB for Financial Applications - MATLAB
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    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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