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Robust Bayesian Allocation

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5.0 | 2 ratings Rate this file 13 Downloads (last 30 days) File Size: 118 KB File ID: #31419 Version: 1.0
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Robust Bayesian Allocation



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

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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