Fully Flexible Views and Stress-testing

Versione 1.6.0.0 (13,8 MB) da Attilio Meucci
Full generalization of Black-Litterman and related techniques via entropy pooling
5.0
(2)
8,4K download
Aggiornato 9 mag 2011

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To walk through the code and for a thorough description, refer to
A. Meucci, "Fully Flexible Views: Theory and Practice"

Latest version of article and code available at http://symmys.com/node/158

Cita come

Attilio Meucci (2024). Fully Flexible Views and Stress-testing (https://www.mathworks.com/matlabcentral/fileexchange/21307-fully-flexible-views-and-stress-testing), MATLAB Central File Exchange. Recuperato .

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Creato con R2006b
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EntropyPooling/AnalyticalVsNumerical/

EntropyPooling/ButterflyTrading/

EntropyPooling/RankingInformation/

Versione Pubblicato Note della release
1.6.0.0

updated references
1.5.0.0

Title updated to match publication available online
1.3.0.0

updated documentation link
1.2.0.0

Updates made to .zip
1.0.0.0

Added case study on ranking allocation