Mathworks portfolio optimisation modelling

Mathworks has announced a portfolio optimisation object in its Financial Toolbox for MATLAB, enabling portfolio managers and analysts to explore and construct portfolios.

Available with the 2011a release of the MATLAB product family, the optimisation object 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.

In addition, Engle-Granger and Johansen cointegration tests and vector error correction (VEC) model conversion routines have been added to Economics Toolbox, giving economists, traders and risk analysts additional time-series modelling and testing capabilities.

Enhancements to other products for financial engineers include: data insert function in Database Toolbox, which speeds up writing to a financial database by an order of magnitude; large-scale quadratic programming algorithm in Optimisation Toolbox, which facilitates optimisation of larger portfolios.