Robust Bayesian Allocation

Versione 1.0.0.0 (118 KB) da Attilio Meucci
portofolio optimization that controls for estimation risk
5.0
(2)
1,5K download
Aggiornato 12 mag 2011

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To walk through the code and for a thorough description, refer to A. Meucci (2005), "Robust Bayesian Allocation".
Latest version of article and code available at http://symmys.com/node/102

Cita come

Attilio Meucci (2024). Robust Bayesian Allocation (https://www.mathworks.com/matlabcentral/fileexchange/31419-robust-bayesian-allocation), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2010b
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Versione Pubblicato Note della release
1.0.0.0