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Robust Bayesian Allocation

version 1.0.0.0 (118 KB) by Attilio Meucci
portofolio optimization that controls for estimation risk

1.5K Downloads

Updated 12 May 2011

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To walk through the code and for a thorough description, refer to A. Meucci (2005), "Robust Bayesian Allocation".
Latest version of article and code available at http://symmys.com/node/102

Cite As

Attilio Meucci (2022). Robust Bayesian Allocation (https://www.mathworks.com/matlabcentral/fileexchange/31419-robust-bayesian-allocation), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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