Portfolio Optimization Toolkit

Contributors

Zheng Duan (Department of Economics, American University)

Download

Download Here (avaliable file formats: MATLAB)

Description

A portfolio optimizatiob toolbox. Includes:

1. Traditional Portfolio Optimization
1. Mean-variance
2. Re-sampling
3. Bayes-Stein
2. Generalized Cross-entropy based Portfolio Optimization
1. Use equal weights as prior
2. Use min variance weights as prior
3. Visualization
1. Contour curves of entropy
2. Shrinkage effect
3. Performance Comparison
1. Sharpe Ratio

	Entropy contours for different levels of risk and return
	shrinkage effects of minimizing cross-entropy