Fully Flexible Views and Stress-testing

버전 1.6.0.0 (13.8 MB) 작성자: Attilio Meucci
Full generalization of Black-Litterman and related techniques via entropy pooling
5.0
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다운로드 수: 8.4K
업데이트 날짜: 2011/5/9

라이선스 보기

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

인용 양식

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. 검색 날짜: .

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EntropyPooling/AnalyticalVsNumerical/

EntropyPooling/ButterflyTrading/

EntropyPooling/RankingInformation/

버전 게시됨 릴리스 정보
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