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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

Satisfaction(Allocation,Market,InvestorProfile)
function CE = Satisfaction(Allocation,Market,InvestorProfile)

CE = Allocation'*diag(Market.CurrentPrices)*(1+Market.LinRets_EV) - ...
  1/(2*InvestorProfile.RiskPropensity)*Allocation'*diag(Market.CurrentPrices)*Market.LinRets_Cov*diag(Market.CurrentPrices)*Allocation ;

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