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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

DecisionBestPerfomer(Market,InvestorProfile)
function Allocation = DecisionBestPerfomer(Market,InvestorProfile)

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% find index of best performer
[a,B]=max(Market.LinRetsSeries(end,:));

% invest in that asset
I=eye(length(Market.CurrentPrices));
Allocation = InvestorProfile.Budget*I(:,B)/Market.CurrentPrices(B);





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