资源简介
matlab开发-Treynorblackportfoliomanagement模型。Treynor Black投资组合管理模型
代码片段和文件信息
%% Treynor-Black portfolio optimization
% Author: Benjamin J. J. Voigt (bvoigt@gmail.com)
% Published: Oct 2012
% Version: 0.0.2
% Licence: BSD 2-Clause free to use and copy retaining original author reference
%
% Purpose: May this code evolve and be enhanced by many smarter minds to
% reflect all the beauty of estimations we dare to dream of.
%
% Required toolboxes: Financial Toolbox Data Feed Toolbox Statistics
% Toolbox
%
% Notes: This initial version contains hard coded values and referefces to replicate the
% exact example data set and formulas described in Z. Bodie A. Kane A. J. Marcus
% INVESTMENTS9th Edition 2012 McGraw-Hill NewYork
% The use of adjusted prices may distort the statistics slightly compared
% to the ones published in the book.
%
% Disclaimer: USE AT YOUR OW
属性 大小 日期 时间 名称
----------- --------- ---------- ----- ----
文件 6979 2012-10-16 23:42 TreynorBlack.m
文件 1320 2014-02-12 14:11 license.txt
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