Yosef Bisk
2017 年からアクティブ
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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.*...
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.*...
6年以上 前 | 0
質問
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?
6年以上 前 | 1 件の回答 | 0