Fully Flexible Views and Stress-testing

バージョン 1.6.0.0 (13.8 MB) 作成者: Attilio Meucci
Full generalization of Black-Litterman and related techniques via entropy pooling
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ダウンロード: 8.4K
更新 2011/5/9

ライセンスの表示

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

引用

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. に取得済み.

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EntropyPooling/AnalyticalVsNumerical/

EntropyPooling/ButterflyTrading/

EntropyPooling/RankingInformation/

バージョン 公開済み リリース ノート
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