Yosef Bisk
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Risk Parity / Equal-risk contribution optimization
W := Nx1 vector of starting weights Sigma := NxN matrix of co-variances These two lines should do it. f = @(W) var(W.*...
ungefär 7 år ago | 0
Question
Does the function estimateFrontier find the global or local optimal portfolios?
Does the estimateFrontier function in the financial toolbox find the global or local optimal portfolios?
mer än 7 år ago | 1 answer | 0