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
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 .
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R2013a
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