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Risk and Asset Allocation

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Risk and Asset Allocation

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16 Nov 2005 (Updated )

Software for quantitative portfolio and risk management

e=FitError(gamma,X,Y,Correlation);
function e=FitError(gamma,X,Y,Correlation);

e = sum(trace(  (exp(-gamma*abs(X-Y))-Correlation)*(exp(-gamma*abs(X-Y))-Correlation)'  ));

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