Latest News 

 

My book on MATLAB and Strategic Asset Allocation is out now. You can buy it at www.amazon.co.uk

 

 

Strategic Asset Allocation in Fixed Income Markets

 

 

Download MATLAB code used in the book here

  • 02 AUG 09: printing of results in EX_NS and EX_SS has been updated - thanks to Craig Nelson for finding the bug

  • 03 FEB 09: regime.m now includes additional optional parameter constraints that might facilitate faster convergence (at least in some cases) 

  • 03 FEB 09: ols_est.m  has been changed

  • 16 JAN 09: a bug has been corrected in NA_a_b.m - thanks to Arjan Berkelaar for spotting it.

  • 16 JAN 09: improvements have been implemented in NA_est.m.

  • 05 FEB 12: Code and slides from the 2012 course at Frankfurt University have been uploaded (in zip format).

  • 05 FEB 12: New Matlab code has been added for example: VAR(p) estimation, and Granger-causality testing.

 

Slides

 

Course outline               SAA_Introduction               Basic Principles

 

Intro2Matlab                  Matrix Algebra                   Risk and Return

 

Functions in Matlab         Asset Allocation                 Econometric Tools

 

Excel sheets 

 

Data                               Nelson-Siegel                   Regime-switching

 

2012 course materials (incl. updated code library) 

 

Lecture Notes 1/2            Lecture Notes 2/2              Matlab files

 

Excel sheets                    Slides

 

 

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The content of this web site is not related to or endorsed by my employer. All views expressed here (if any) are mine alone and are not necessarily shared by my employer.

 

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All material on this website is provided "as is" and no warranty is given for the correct functioning of e.g. computer codes. Nothing on this website should be seen as indicating investment advice of any kind. MATLAB code and teaching materials can be downloaded free of charge. Support is not guaranteed (but please do email me if you find bugs or have questions).  

 

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  Ken Nyholm  2008    Last updated on 2 August 2009