Portfolio Diversi…cation Based on Optimized Uncorrelated Factors

Versión 1.3.0.0 (2,06 MB) por Attilio Meucci
Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution
5.0
(2)
2,7K Descargas
Actualizado 19 ago 2014

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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

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Attilio Meucci (2024). Portfolio Diversi…cation Based on Optimized Uncorrelated Factors (https://www.mathworks.com/matlabcentral/fileexchange/43245-portfolio-diversi-cation-based-on-optimized-uncorrelated-factors), MATLAB Central File Exchange. Recuperado .

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Se creó con R2013a
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Meucci - Minimum Torsion Bets/

Versión Publicado Notas de la versión
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