Fully Flexible Views and Stress-testing

バージョン (13.8 MB) 作成者: Attilio Meucci
Full generalization of Black-Litterman and related techniques via entropy pooling

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更新 2011/5/9


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


Attilio Meucci (2022). Fully Flexible Views and Stress-testing (https://www.mathworks.com/matlabcentral/fileexchange/21307-fully-flexible-views-and-stress-testing), MATLAB Central File Exchange. 取得済み .

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