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Robust Bayesian Allocation

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Robust Bayesian Allocation

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Attilio Meucci (view profile)

 

portofolio optimization that controls for estimation risk

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Description

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

MATLAB release MATLAB 7.11 (R2010b)
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Comments and Ratings (2)
30 Sep 2011 Allan

Allan (view profile)

Highly appreciated!

23 Aug 2011 Ning

Ning (view profile)

nice file. Thank you very much!

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