MATLAB_Environment

Contents | Index

A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

- A -

	Portfolio Optimization with Exponential, Logarithmic, and Linear-Quadratic Utilities
	Portfolio Optimization with Nonlinear Transaction Costs

Average Loss

	Omega Portfolio Rebalancing
	Optimization Beyond Black Litterman

Average Max

avg

	Omega Portfolio Rebalancing
	Optimization Beyond Black Litterman

avg_g

	Portfolio Optimization with Exponential, Logarithmic, and Linear-Quadratic Utilities
	Portfolio Optimization with Nonlinear Transaction Costs

avg_max_risk

- B -

Binary Classification with Splines

	Binary Classification with Splines
	Logistic Regression with Factors Transformed by Splines and Approaches for Dimension Reduction

Block Operation

- C -

Cardinality

	Optimal Hedging of CDO Book
	Logistic Regression and Regularized Logistics Regression Applied to Estimating Probabilities

Cardinality Positive

cardn

	Optimal Hedging of CDO Book
	Logistic Regression and Regularized Logistics Regression Applied to Estimating Probabilities

cardn_pos

CDaR

	Portfolio Optimization with Drawdown Constraints on a Single Path
	Portfolio Optimization with Drawdown Constraints, Single Path vs Multiple Paths

CDaR Multiple

	Portfolio Optimization with Drawdown Constraints on Multiple Paths
	Portfolio Optimization with Drawdown Constraints, Single Path vs Multiple Paths

cdar_dev

	Portfolio Optimization with Drawdown Constraints on a Single Path
	Portfolio Optimization with Drawdown Constraints, Single Path vs Multiple Paths

cdarmulti_dev

	Portfolio Optimization with Drawdown Constraints on Multiple Paths
	Portfolio Optimization with Drawdown Constraints, Single Path vs Multiple Paths

crossvalidation

	Solution in MATLAB Environment
	Logistic Regression and Regularized Logistics Regression Applied to Estimating Probabilities

Cross-Validation

CrossValidation Operation

Cut Operation

CVaR

	Hedging Portfolio of Options
	Optimal Crop Production and Insurance Coverage
	Optimization Beyond Black Litterman
	Portfolio Optimization with Nonlinear Transaction Costs
	Portfolio Replication with Risk Constraint
	Supply Chain Planning Problem

CVaR Component Positive

CVaR Deviation

	Portfolio Management with Basel Accord
	Portfolio Optimization, CVaR vs Standard Deviation
	Investment Strategies for Portfolio of Hedge Funds

CVaR Deviation for Loss

CVaR minimization

cvar_comp_pos

CVaR_dev

	Mortgage Pipeline Hedging
	Portfolio Management with Basel Accord
	Portfolio Optimization, CVaR vs Standard Deviation
	Investment Strategies for Portfolio of Hedge Funds

cvar_risk

	Hedging Portfolio of Options
	Optimal Crop Production and Insurance Coverage
	Optimization Beyond Black Litterman
	Portfolio Optimization with Nonlinear Transaction Costs
	Portfolio Replication with Risk Constraint
	Supply Chain Planning Problem

- D -

Data Description

Drawdown Average

Drawdown Average Multiple

Drawdown Maximum

Drawdown Maximum Multiple

drawdown_dev_avg

drawdown_dev_max

drawdownmulti_dev_avg

drawdownmulti_dev_max

- E -

- F -

Formal Problem Statement CS_Optimizing_Radiation_Therapy_PM2

Formal Problem Statement CS_RebalancingPortfolioOfManagers_VaR

functionincrement

	Hedging Portfolio of Options
	Optimization Retail Portfolio of Bonds
	Supply Chain Planning Problem

fxchg

- G -

get_optimalpoint

	Optimal Tests Selection
	Portfolio Optimization with Drawdown Constraints, Single Path vs Multiple Paths
	Portfolio Optimization with Exponential, Logarithmic, and Linear-Quadratic Utilities
	Portfolio Optimization with Nonlinear Transaction Costs
	Structuring Step-up CDO

get_solution

	Optimization Beyond Black Litterman
	Portfolio Management with Basel Accord
	Portfolio Optimization with Exponential, Logarithmic, and Linear-Quadratic Utilities
	Project Selection
	Stochastic Utility Problem
	Structuring Step-up CDO
	Problems 1-5
	Style Classification with Quantile Regression
	Binary Classification with Splines
	Logistic Regression with Factors Transformed by Splines and Approaches for Dimension Reduction

- H -

Hedging Portfolio of Options Short

	Hedging Portfolio of Options
	Supply Chain Planning Problem

- I -

Intensity-Modulated Radiation Therapy Treatment Planning Problem

	Intensity-Modulated Radiation Therapy Treatment Planning Problem
	Formal Problem Statement

Investment Strategies for Portfolio of Hedge Funds

- K -

kb_err

Koenker and Basset Error

- L -

Linear

	Project Selection
	Stochastic Utility Problem
	VaR vs Probability Constraints
	Investment Strategies for Portfolio of Hedge Funds

List of Case Studies

log_eut

Logarithmic Utility

Logarithms Exponents Sum

	Binary Classification with Splines
	Logistic Regression and Regularized Logistics Regression Applied to Estimating Probabilities
	Logistic Regression with Factors Transformed by Splines and Approaches for Dimension Reduction

logexp_sum

	Binary Classification with Splines
	Logistic Regression and Regularized Logistics Regression Applied to Estimating Probabilities
	Logistic Regression with Factors Transformed by Splines and Approaches for Dimension Reduction

logistic

	Binary Classification with Splines
	Logistic Regression with Factors Transformed by Splines and Approaches for Dimension Reduction

Logistic Regression

Logistic Regression and Regularized Logistics Regression Applied to Estimating Probabilities

	Logistic Regression and Regularized Logistics Regression Applied to Estimating Probabilities
	Formal Problem Statement

- M -

MATLAB Toolbox

matrix_pack

Maximization of Average Annualized Portfolio Return

	Formal Problem Statement
	Formal Problem Statement
	Formal Problem Statement

Maximization of Estimated Return under Internal and Regulatory Loss Risk Limits

Maximization of Expected Portfolio Gain

Maximization of Expected Profit

Maximization of Expected Return

Maximization of Logarithms Exponents Sum Applied to Spline Sum

	Formal Problem Statement
	Formal Problem Statement

Maximization of Net Present Value

Maximization of Omega Function

Maximization of Utility Function

Maximization of value of selected tests

Mean Absolute Deviation

	Mortgage Pipeline Hedging
	Optimal Hedging of CDO Book
	Investment Strategies for Portfolio of Hedge Funds

Mean Absolute Error

	Optimal Hedging of CDO Book
	Portfolio Replication with Risk Constraint

meanabs_dev

	Mortgage Pipeline Hedging
	Optimal Hedging of CDO Book

meanabs_pen

	Optimal Hedging of CDO Book
	Portfolio Replication with Risk Constraint

Meanbs_dev

Minimization Average of Maximum of Random Linear Functions

Minimization of Different Deviation Measures

Minimization of Hedging Risk

Minimization of Initial Portfolio Value

	Formal Problem Statement
	Formal Problem Statement

Minimization of Outcome Spread Payments for CDO Portfolio

Minimization of Relative Entropy

Minimization of Replication Error

Mixed Quantile Regression: Estimation of CVaR with Explanatory Factors

	Mixed Quantile Regression: Estimation of CVaR with Explanatory Factors
	Formal Problem Statement

Mortgage Pipeline Hedging

mpsg_function_value

	Mortgage Pipeline Hedging
	Structuring Step-up CDO
	Style Classification with Quantile Regression

mpsg_loss_values

mpsg_solver

	Mortgage Pipeline Hedging
	Optimal Crop Production and Insurance Coverage
	Optimal Hedging of CDO Book
	Optimal Tests Selection
	Optimization Beyond Black Litterman
	Portfolio Management with Basel Accord
	Portfolio Optimization with Drawdown Constraints, Single Path vs Multiple Paths
	Portfolio Optimization with Exponential, Logarithmic, and Linear-Quadratic Utilities
	Portfolio Optimization with Nonlinear Transaction Costs
	Portfolio Optimization with Second Orders Stochastic Dominance Constraints
	Project Selection
	Stochastic Utility Problem
	Structuring Step-up CDO
	Binary Classification with Splines

- O -

object_pack

	Mortgage Pipeline Hedging
	Optimal Crop Production and Insurance Coverage
	Optimal Hedging of CDO Book
	Optimal Tests Selection
	Optimization Beyond Black Litterman
	Portfolio Optimization with Exponential, Logarithmic, and Linear-Quadratic Utilities
	Project Selection
	Stochastic Utility Problem

omega

Omega Portfolio Rebalancing

Optimal Crop Production and Insurance Coverage

Optimal Hedging of CDO Book

Optimal Tests Selection

Optimization Beyond Black Litterman

Optimization Retail Portfolio of Bonds

- P -

Parameters of the Problem

Partial Moment

	Omega Portfolio Rebalancing
	Portfolio Optimization with Second Orders Stochastic Dominance Constraints
	Style Classification with Quantile Regression
	Mixed Quantile Regression: Estimation of CVaR with Explanatory Factors
	Quantile Regression: Style Classification of Portfolio

Partial Moment for Gain

	Structuring Step-up CDO
	Style Classification with Quantile Regression
	Mixed Quantile Regression: Estimation of CVaR with Explanatory Factors
	Quantile Regression: Style Classification of Portfolio

Partial Moment Two

Partial Moment Two for Gain

Percentile Regression for Return-based Style Classification of a Mutual Fund

pm_pen

	Omega Portfolio Rebalancing
	Portfolio Optimization with Second Orders Stochastic Dominance Constraints
	Style Classification with Quantile Regression
	Mixed Quantile Regression: Estimation of CVaR with Explanatory Factors
	Quantile Regression: Style Classification of Portfolio

pm_pen_g

	Structuring Step-up CDO
	Style Classification with Quantile Regression
	Mixed Quantile Regression: Estimation of CVaR with Explanatory Factors
	Quantile Regression: Style Classification of Portfolio

pm2_pen

pm2_pen_g

polynom_abs

	Optimal Hedging of CDO Book
	Portfolio Optimization with Nonlinear Transaction Costs
	Logistic Regression and Regularized Logistics Regression Applied to Estimating Probabilities

Polynomial Absolute

	Optimal Hedging of CDO Book
	Portfolio Optimization with Nonlinear Transaction Costs
	Logistic Regression and Regularized Logistics Regression Applied to Estimating Probabilities

Portfolio Management with Basel Accord

Portfolio Optimization with Drawdown Constraints on a Single Path

Portfolio Optimization with Drawdown Constraints on Multiple Paths

Portfolio Optimization with Drawdown Constraints, Single Path vs Multiple Paths

Portfolio Optimization with Exponential, Logarithmic, and Linear-Quadratic Utilities

Portfolio Optimization with Nonlinear Transaction Costs

Portfolio Optimization with Second Orders Stochastic Dominance Constraints

Portfolio Optimization, CVaR vs Standard Deviation

Portfolio Replication with Risk Constraint

pr_pen

	Optimal Crop Production and Insurance Coverage
	Structuring Step-up CDO
	VaR vs Probability Constraints

prmulti_pen

prmulti_pen_ni_g

Probability of Exceedance

	Optimal Crop Production and Insurance Coverage
	Structuring Step-up CDO
	VaR vs Probability Constraints

Probability of Exceedance for Gain Multiple Normal Independent

Probability of Exceedance Multiple

Project Selection

psg_export_to_workspace

- Q -

Quantile Regression: Style Classification of Portfolio

	Quantile Regression: Style Classification of Portfolio
	Formal Problem Statement

- R -

read_matrix

	Mortgage Pipeline Hedging
	Optimal Crop Production and Insurance Coverage
	Optimization Beyond Black Litterman
	Problem 1
	Problem 2
	Problem 3
	Portfolio Optimization with Drawdown Constraints on Multiple Paths
	Problem 1
	Problem 2
	Problem 2_10_2_2_2
	Project Selection

read_point

	Problem 1
	Problem 2
	Problem 3
	Problem 1
	Problem 2
	Problem 2_10_2_2_2

Relative Entropy

Relative Entropy Minimization

riskconstrparam

	Hedging Portfolio of Options
	Optimization Beyond Black Litterman
	Problem 1
	Problem 2
	Problem 3
	Portfolio Optimization with Drawdown Constraints on Multiple Paths
	Portfolio Replication with Risk Constraint
	Supply Chain Planning Problem

riskconstrprog

	Optimization Beyond Black Litterman
	Optimization Retail Portfolio of Bonds
	Project Selection
	Logistic Regression and Regularized Logistics Regression Applied to Estimating Probabilities
	VaR vs Probability Constraints

riskparam

	Optimization Beyond Black Litterman
	Portfolio Optimization, CVaR vs Standard Deviation

riskprog

	Optimization Beyond Black Litterman
	Project Selection
	Relative Entropy Minimization
	Logistic Regression and Regularized Logistics Regression Applied to Estimating Probabilities
	Mixed Quantile Regression: Estimation of CVaR with Explanatory Factors
	Quantile Regression: Style Classification of Portfolio
	Intensity-Modulated Radiation Therapy Treatment Planning Problem
	Investment Strategies for Portfolio of Hedge Funds

- S -

Single-Period Portfolio Optimization Problem

Spline

spline_sum

sqrt_quadratic

Square Root Quadratic

st_dev

	Mortgage Pipeline Hedging
	Portfolio Optimization, CVaR vs Standard Deviation

Standard Deviation

	Mortgage Pipeline Hedging
	Portfolio Optimization, CVaR vs Standard Deviation

Stochastic Utility Problem

Structuring Step-up CDO Short

Style Classification with Quantile Regression

Sum of Splines

	Binary Classification with Splines
	Logistic Regression with Factors Transformed by Splines and Approaches for Dimension Reduction

- T -

tbpsg_constraint

	Problem 1
	Problem 2
	Problem 2_10_2_2_2

tbpsg_export_to_workspace

tbpsg_function_value

	Solution in MATLAB Environment
	Problems 1-5

tbpsg_matrix_pack

	Solution in MATLAB Environment
	Problem 1
	Problem 2
	Problem 2_10_2_2_2
	Solution in MATLAB Environment
	Solution in MATLAB Environment
	Solution in MATLAB Toolbox

tbpsg_objective

	Solution in MATLAB Environment
	Problem 1
	Problem 2
	Problem 2_10_2_2_2
	Problems 1-5
	Solution in MATLAB Toolbox

tbpsg_pmatrix_pack

tbpsg_point_data

	Solution in MATLAB Environment
	Problem 1
	Problem 2
	Problem 2_10_2_2_2
	Solution in MATLAB Toolbox

tbpsg_point_pack

	Problem 1
	Problem 2
	Problem 2_10_2_2_2
	Solution in MATLAB Environment
	Problems 1-5

tbpsg_point_vars

	Problem 1
	Problem 2
	Problem 2_10_2_2_2
	Solution in MATLAB Toolbox

tbpsg_run

	Solution in MATLAB Environment
	Solution in MATLAB Environment
	Problem 1
	Problem 2
	Problem 2_10_2_2_2
	Solution in MATLAB Environment
	Solution in MATLAB Environment
	Problems 1-5
	Solution in MATLAB Environment
	Solution in MATLAB Toolbox

tbpsg_solution_struct

	Solution in MATLAB Environment
	Solution in MATLAB Toolbox

tbpsg_vector_pack

Total Return Maximization under Constraint on VaR Deviaton

- V -

VaR

	Mortgage Pipeline Hedging
	Optimal Crop Production and Insurance Coverage
	VaR vs Probability Constraints

VaR Deviation

	Optimization Retail Portfolio of Bonds
	Portfolio Management with Basel Accord

VaR Deviation Minimization under Constraint on Total Return

VaR for Gain

VaR vs Probability Constraints

	VaR vs Probability Constraints
	Formal Problem Statement

var_dev

	Optimization Retail Portfolio of Bonds
	Portfolio Management with Basel Accord

var_risk

	Mortgage Pipeline Hedging
	Optimal Crop Production and Insurance Coverage
	VaR vs Probability Constraints

var_risk_g

Variance