Robust Bayesian Allocation

Version 1.0.0.0 (118 KB) by Attilio Meucci
portofolio optimization that controls for estimation risk
5.0
(2)
1.5K Downloads
Updated 12 May 2011

View License

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 (2026). Robust Bayesian Allocation (https://uk.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
Tags Add Tags

Meucci_RobustBayesian/

Version Published Release Notes
1.0.0.0