Historical Scenarios with Fully Flexible Probabilities
Version 1.0.0.0 (39,8 KB) von
Attilio Meucci
State- and time-dependent risk management through Entropy Pooling
To walk through the code and for a thorough description, refer to
A. Meucci, (2010) "Personalized Risk Management: Historical Scenarios with Fully Flexible Probabilities"
Latest version of article and code available at http://www.symmys.com/node/150
Zitieren als
Attilio Meucci (2024). Historical Scenarios with Fully Flexible Probabilities (https://www.mathworks.com/matlabcentral/fileexchange/31360-historical-scenarios-with-fully-flexible-probabilities), MATLAB Central File Exchange. Abgerufen .
Kompatibilität der MATLAB-Version
Erstellt mit
R2011a
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- Computational Finance > Financial Toolbox > Portfolio Optimization and Asset Allocation >
- Computational Finance > Risk Management Toolbox >
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Version | Veröffentlicht | Versionshinweise | |
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1.0.0.0 |