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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

[Mu,Sigma]=NormalMLE(X)
function [Mu,Sigma]=NormalMLE(X)

Mu=mean(X)';

T = size(X,1);
X = X - ones(T,1) * Mu';
Sigma = X'*X/T;

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