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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

Cost(Allocation,Market,InvestorProfile)
function C_Plus = Cost(Allocation,Market,InvestorProfile)


aXi=Allocation'*diag(Market.CurrentPrices)*(1+Market.LinRets_EV);
aPhia=Allocation'*diag(Market.CurrentPrices)*Market.LinRets_Cov*diag(Market.CurrentPrices)*Allocation ;

C=(1-InvestorProfile.BaR)*InvestorProfile.Budget ...
        -aXi + sqrt(2*aPhia)*erfinv(2*InvestorProfile.Confidence-1);
C_Plus=max(C,0);    

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