Portfolio Diversi…cation Based on Optimized Uncorrelated Factors

버전 1.3.0.0 (2.06 MB) 작성자: Attilio Meucci
Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution
5.0
(2)
다운로드 수: 2.7K
업데이트 날짜: 2014/8/19

라이선스 보기

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

인용 양식

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. 검색 날짜: .

MATLAB 릴리스 호환 정보
개발 환경: R2013a
모든 릴리스와 호환
플랫폼 호환성
Windows macOS Linux
카테고리
Help Center 및 MATLAB Answers에서 Portfolio Optimization and Asset Allocation에 대해 자세히 알아보기

Community Treasure Hunt

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

Start Hunting!

Meucci - Minimum Torsion Bets/

버전 게시됨 릴리스 정보
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