1. COMPUTATIONAL FINANCE USING MATLAB
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MONTE CARLO SIMULATION FOR PORTFOLIO ASSETS
This sample assignment Simulate sample path allow us to see the pattern that assets price will face.
Crucial to hedge risk.
PortfolioMontecarlo.m
Stock1=[BAC]; %Matrix of prices (2012)
Stock2=[GE]; %Matrix of prices (2012)
RetStock1=ret2price(Stock1);
RetStock2=ret2price(Stock2);
Returnone=[Mean(RetStock1); Mean(RetStock2)];%We need aggregate the data
SigmaStock1=std(RetStock2);
SigmaStock2=std(RetStock2);
Sigmas=[SigmaStock1; SigmaStock2];% Aggregate the data
Correlation=corrcoef(RetStock1, RetStock2);
Covariance=corr2cov(Sigmas, Correlation);
startprice=[20.65; 11.59];
numobs=249; % 1 calendar year
numsim=1000;% Num Simulation
numassets=2; %Only Two asset
retintervals=1; %One day Trading on Exchange Market
RetExact=portsim(ExpReturn, ExpCovariance, Numobs, Retintervals, Numsim, 'Exact');
ReturnExact=RetExact(:,:,1)/100;%Convert Chart into Numeric (we need convert) and divide return
by 100%
Weights=ones(Numassets,1)/Numassets;
PortReturn=ReturnExact*Weights; %Portret=Sum(Xi*Weights)
plot(PortPrices, '-b');
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![COMPUTATIONAL FINANCE USING MATLAB
Our online Tutors are available 24*7 to provide Help with Computational Finance
Homework/Assignment or a long term Graduate/Undergraduate Computational Finance Project. Our
Tutors being experienced and proficient in Computational Finance ensure to provide high quality
Computational Finance Homework Help. Upload your Computational Finance Assignment at ‘Submit
Your Assignment’ button or email it to info@assignmentpedia.com. You can use our ‘Live Chat’
option to schedule an Online Tutoring session with our Computational Finance Tutors.
MONTE CARLO SIMULATION FOR PORTFOLIO ASSETS
This sample assignment Simulate sample path allow us to see the pattern that assets price will face.
Crucial to hedge risk.
PortfolioMontecarlo.m
Stock1=[BAC]; %Matrix of prices (2012)
Stock2=[GE]; %Matrix of prices (2012)
RetStock1=ret2price(Stock1);
RetStock2=ret2price(Stock2);
Returnone=[Mean(RetStock1); Mean(RetStock2)];%We need aggregate the data
SigmaStock1=std(RetStock2);
SigmaStock2=std(RetStock2);
Sigmas=[SigmaStock1; SigmaStock2];% Aggregate the data
Correlation=corrcoef(RetStock1, RetStock2);
Covariance=corr2cov(Sigmas, Correlation);
startprice=[20.65; 11.59];
numobs=249; % 1 calendar year
numsim=1000;% Num Simulation
numassets=2; %Only Two asset
retintervals=1; %One day Trading on Exchange Market
RetExact=portsim(ExpReturn, ExpCovariance, Numobs, Retintervals, Numsim, 'Exact');
ReturnExact=RetExact(:,:,1)/100;%Convert Chart into Numeric (we need convert) and divide return
by 100%
Weights=ones(Numassets,1)/Numassets;
PortReturn=ReturnExact*Weights; %Portret=Sum(Xi*Weights)
plot(PortPrices, '-b');
visit us at www.assignmentpedia.com or email us at info@assignmentpedia.com or call us at +1 520 8371215](https://image.slidesharecdn.com/computationalfinance-130822144834-phpapp02/85/Computational-Finance-1-320.jpg)
