Global-Minimum-Variance model and 1/N model optimal asset allocation

Version 1.0.0.0 (1.39 KB) by DankoJones
This will calculate the weights for the .. 1. Global-Minimum-Variance model 2. 1/N model
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Updated 13 Apr 2012

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Calculate your returns, put them into excel. Let Matlab read it and run the file.

Et voila.

Cite As

DankoJones (2024). Global-Minimum-Variance model and 1/N model optimal asset allocation (https://www.mathworks.com/matlabcentral/fileexchange/36159-global-minimum-variance-model-and-1-n-model-optimal-asset-allocation), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2011a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.0.0