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Robust Bayesian Allocation

version 1.0 (118 KB) by

portofolio optimization that controls for estimation risk

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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

Comments and Ratings (2)

Allan

Allan (view profile)

Highly appreciated!

Ning

Ning (view profile)

nice file. Thank you very much!

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