Robust Bayesian Allocation

portofolio optimization that controls for estimation risk


Updated 12 May 2011

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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

Cite As

Attilio Meucci (2023). Robust Bayesian Allocation (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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