Description: Description
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
MATLAB release MATLAB 7.11 (2010b)
To Search:
File list (Check if you may need any files):
Meucci_RobustBayesian
.....................\EfficientFrontier.m
.....................\MainSectorsSnP.m
.....................\S_SimulationsCaseStudy.m
.....................\S_SnPCaseStudy.m
.....................\SectorsSnP500.mat
license.txt
Download