Code covered by the BSD License  

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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

psdscale(ud,x,K [,transp])
%                                           y = psdscale(ud,x,K [,transp])
% PSDSCALE  Computes length lenud (=sum(K.s.^2)) vector y.
%   !transp (default) then y[k] = vec(Ldk' * Xk * Ldk)
%   transp == 1 then y[k] = vec(Udk' * Xk * Udk)
%   Uses pivot ordering ud.perm if available and nonempty.
%
% **********  INTERNAL FUNCTION OF SEDUMI **********
%
% See also scaleK, factorK.

function y = psdscale(ud,x,K [,transp])
%
% This file is part of SeDuMi 1.1 by Imre Polik and Oleksandr Romanko
% Copyright (C) 2005 McMaster University, Hamilton, CANADA  (since 1.1)
%
% Copyright (C) 2001 Jos F. Sturm (up to 1.05R5)
%   Dept. Econometrics & O.R., Tilburg University, the Netherlands.
%   Supported by the Netherlands Organization for Scientific Research (NWO).
%
% Affiliation SeDuMi 1.03 and 1.04Beta (2000):
%   Dept. Quantitative Economics, Maastricht University, the Netherlands.
%
% Affiliations up to SeDuMi 1.02 (AUG1998):
%   CRL, McMaster University, Canada.
%   Supported by the Netherlands Organization for Scientific Research (NWO).
%
% This program is free software; you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation; either version 2 of the License, or
% (at your option) any later version.
%
% This program is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with this program; if not, write to the Free Software
% Foundation, Inc.,  51 Franklin Street, Fifth Floor, Boston, MA
% 02110-1301, USA
%

disp('The SeDuMi binaries are not installed.')
disp('In Matlab, launch "install_sedumi" in the folder you put the SeDuMi files.')
disp('For more information see the file Install.txt.')
error(' ')

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