Fully Flexible Views and Stress-testing

Versión 1.6.0.0 (13,8 MB) por Attilio Meucci
Full generalization of Black-Litterman and related techniques via entropy pooling
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8,4K descargas
Actualizado 9 may 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

Citar como

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. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2006b
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EntropyPooling/AnalyticalVsNumerical/

EntropyPooling/ButterflyTrading/

EntropyPooling/RankingInformation/

Versión Publicado Notas de la versión
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