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Treynor-Black portfolio management model

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Treynor-Black portfolio management model


Ben (view profile)


Treynor-Black portfolio management model

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Simplified Treynor-Black portfolio management model for educational purpose or basis for research. The model applies modern portfolio management principles to combine passive and active portfolio components. The model allows to manage long/short positions and allows for modular extension of estimated parameters. The example references Investments by Bodie, Kane and Marcus 9th edition.

Required Products Datafeed Toolbox
Financial Toolbox
Statistics and Machine Learning Toolbox
MATLAB release MATLAB 7.12 (R2011a)
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