Fully Flexible Views and Stress-testing

Version 1.6.0.0 (13,8 MB) von Attilio Meucci
Full generalization of Black-Litterman and related techniques via entropy pooling
5.0
(2)
8,4K Downloads
Aktualisiert 9. Mai 2011

Lizenz anzeigen

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

Zitieren als

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. Abgerufen.

Kompatibilität der MATLAB-Version
Erstellt mit R2006b
Kompatibel mit allen Versionen
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EntropyPooling/AnalyticalVsNumerical/

EntropyPooling/ButterflyTrading/

EntropyPooling/RankingInformation/

Version Veröffentlicht Versionshinweise
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