Fully Flexible Views and Stress-testing

版本 1.6.0.0 (13.8 MB) 作者: Attilio Meucci
Full generalization of Black-Litterman and related techniques via entropy pooling
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更新时间 2011/5/9

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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

引用格式

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. 检索时间: .

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EntropyPooling/AnalyticalVsNumerical/

EntropyPooling/ButterflyTrading/

EntropyPooling/RankingInformation/

版本 已发布 发行说明
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