Portfolio Diversi…cation Based on Optimized Uncorrelated Factors

Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution

Versione 1.3.0.0 (2,06 MB)
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19 ago 2014

Al momento, stai seguendo questo contributo

To walk through the code and for a thorough description, refer to A. Meucci et al. "Measuring Portfolio Diversi…cation
Based on Optimized Uncorrelated Factors", to appear September 2013).
Latest version of article and code available at http://symmys.com/node/599

Cita come

Attilio Meucci (2026). Portfolio Diversi…cation Based on Optimized Uncorrelated Factors (https://it.mathworks.com/matlabcentral/fileexchange/43245-portfolio-diversi-cation-based-on-optimized-uncorrelated-factors), MATLAB Central File Exchange. Recuperato .

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Versione Pubblicato Note della release
1.3.0.0

Removed unnecessary "for" loop

1.2.0.0

Fixed transpose
1.1.0.0

improved torsion function
1.0.0.0