Portfolio optimization

Some codes related to Portfolio optimization

m file Description
min_var_front.m For two given frontier portfolios (mean,variance and correlation known) returns for a grid of allocations the frontier Download
AlmgrenChriss1.m Implements the Almgren and Chriss formula. See 'Financial Modeling Under Non-Gaussian Distributions' Page 73. Download
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Université de Lausanne - HEC : Eric Jondeau & Michael Rockinger