Black Litterman Approach in MATLAB Code

Description

This Matlab code is doing the financial calculations and is mostly used in finance studies. In finance studies, lots of calculations are required and MATLAB servers as the best tool for these calculations. This MATLAB project is calculating below tasks:

• Step 1: Getting Historical Stock Data
• Step 2: Conversion of currencies
• Step 3: Calculate Expected Returns & Covariance Matrix
• Step 4: Plotting 11 different frontiers in one figure
• Step 5: Plotting frontiers with risk free rate of 3%
• Step 6: Calculate Optimal Asset Allocation
• Step 7: Average Return after the back test
• Step 8: Calculation of Standard Deviation
• Step 9: Calculate alphas & betas of the system
• Step 10: Implementation of Black-Litterman Approach

Along with MATLAB code, complete explanation of this project is also included.