Treynor-Black portfolio management model

Version 1.0.0.0 (3.43 KB) by Ben
Treynor-Black portfolio management model
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Updated 17 Oct 2012

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Simplified Treynor-Black portfolio management model for educational purpose or basis for research. The model applies modern portfolio management principles to combine passive and active portfolio components. The model allows to manage long/short positions and allows for modular extension of estimated parameters. The example references Investments by Bodie, Kane and Marcus 9th edition.

Cite As

Ben (2024). Treynor-Black portfolio management model (https://www.mathworks.com/matlabcentral/fileexchange/38651-treynor-black-portfolio-management-model), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2011a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.0.0