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Robust-Bayesian optimization in Markowitz framework
Suppose we are in the mean-variance optimization setting with a vector of returns $\alpha$ and a vector of portfolio weights $\omega$.
In a robust setting, the returns are assumed to lie in some ...
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1answer
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Robust Bayesian portfolio optimization in matlab?
I am working through this paper.
I want to implement the robust Bayesian optimization (see pages 6 onward) in Matlab using fmincon.
Here is a brief overview of my problem:
Let $\alpha$ be the ...
