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updated 8 years ago

Using MATLAB to Develop Portfolio Optimization Models by Bob Taylor

Scripts to create time-evolving efficient frontiers and to backtest results. (finance, modeling, analysis)

[DateHistory, RetHistory, PortHistory, X, Y, Z ] ...

ecmninit(Data, InitMethod)

ecmnmle(Data, InitMethod, MaxIter, Tolerance, Mean0, Cova...

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updated almost 11 years ago

DEA Solver light by Alvimar Lucena

Educational solver to DEA. (optimization, data envelopment anal..., linear programming)

DEACRSEI(X,Y);

DEACRSEO(X,Y);

DEACRSMI(X,Y);

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