MathWorks Delivers Portfolio Modeling and Econometric Capabilities

Latest Release of MATLAB Product Family Supports Investment Managers with Powerful Algorithms

Natick, Mass. - (3 May 2011)

MathWorks today announced a new portfolio optimization object in its Financial Toolbox for MATLAB, enabling portfolio managers and analysts to easily explore and construct portfolios. Available with the 2011a release of the MATLAB product family, the portfolio optimization 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 optimization and asset allocation algorithms.

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

Enhancements to other MathWorks products for financial engineers include:

  • datainsert function in Database Toolbox, which speeds up writing to a financial database by an order of magnitude
  • Large-scale quadratic programming algorithm in Optimization Toolbox, which facilitates optimization of larger portfolios

About MathWorks

MathWorks is the leading developer of mathematical computing software. MATLAB, the language of technical computing, is a programming environment for algorithm development, data analysis, visualization, and numeric computation. Simulink is a graphical environment for simulation and Model-Based Design for multidomain dynamic and embedded systems. Engineers and scientists worldwide rely on these product families to accelerate the pace of discovery, innovation, and development in automotive, aerospace, electronics, financial services, biotech-pharmaceutical, and other industries. MathWorks products are also fundamental teaching and research tools in the world's universities and learning institutions. Founded in 1984, MathWorks employs more than 2400 people in 15 countries, with headquarters in Natick, Massachusetts, USA. For additional information, visit mathworks.com.

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