Portfolio Diversi…cation Based on Optimized Uncorrelated Factors

バージョン 1.3.0.0 (2.06 MB) 作成者: Attilio Meucci
Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution
5.0
(2)
ダウンロード: 2.6K
更新 2014/8/19

ライセンスの表示

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

引用

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. 取得済み .

MATLAB リリースの互換性
作成: R2013a
すべてのリリースと互換性あり
プラットフォームの互換性
Windows macOS Linux
カテゴリ
Help Center および MATLAB Answers で Portfolio Optimization and Asset Allocation についてさらに検索

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Meucci - Minimum Torsion Bets/

バージョン 公開済み リリース ノート
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