Portfolio Diversi…cation Based on Optimized Uncorrelated Factors

Version 1.3.0.0 (2,06 MB) von Attilio Meucci
Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution
5.0
(2)
2,6K Downloads
Aktualisiert 19 Aug 2014

Lizenz anzeigen

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

Zitieren als

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. Abgerufen .

Kompatibilität der MATLAB-Version
Erstellt mit R2013a
Kompatibel mit allen Versionen
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Meucci - Minimum Torsion Bets/

Version Veröffentlicht Versionshinweise
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