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Entropy Pooling: Fully Flexible Views and Stress-testing

02 Sep 2008 (Updated 10 Apr 2009)

Full generalization of Black-Litterman and related techniques

File Information
Description	See A. Meucci, "Fully Flexible Views: Theory and Practice", The Risk Magazine, October 2008, p. 100-106 available here http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1213325
Required Products	Optimization Toolbox
MATLAB release	MATLAB 7.3 (R2006b)
Zip File Content
Other Files	EntropyPooling/AnalyticalVsNumerical/EntropyProg.m, EntropyPooling/AnalyticalVsNumerical/pHist.m, EntropyPooling/AnalyticalVsNumerical/PlotDistributions.m, EntropyPooling/AnalyticalVsNumerical/Prior2Posterior.m, EntropyPooling/AnalyticalVsNumerical/S_MAIN.m, EntropyPooling/ButterflyTrading/ButterfliesAnalytics.mat, EntropyPooling/ButterflyTrading/ComputeCVaR.m, EntropyPooling/ButterflyTrading/EntropyProg.m, EntropyPooling/ButterflyTrading/FactorsDistribution.mat, EntropyPooling/ButterflyTrading/HorizonPricing.m, EntropyPooling/ButterflyTrading/LongShortMeanCVaRFrontier.m, EntropyPooling/ButterflyTrading/MapVol.m, EntropyPooling/ButterflyTrading/PriceFly.m, EntropyPooling/ButterflyTrading/S_MAIN.m, EntropyPooling/ButterflyTrading/SetUpConstraints.m, EntropyPooling/ButterflyTrading/ViewCurveSlope.m, EntropyPooling/ButterflyTrading/ViewImpliedVol.m, EntropyPooling/ButterflyTrading/ViewRealizedVol.m, EntropyPooling/RankingInformation/EfficientFrontier.m, EntropyPooling/RankingInformation/EntropyProg.m, EntropyPooling/RankingInformation/ImpliedExpRets.m, EntropyPooling/RankingInformation/PlotFrontier.m, EntropyPooling/RankingInformation/PlotResults.m, EntropyPooling/RankingInformation/ReturnsDistribution.mat, EntropyPooling/RankingInformation/RobustEfficientFrontier.m, EntropyPooling/RankingInformation/S_MAIN.m, EntropyPooling/RankingInformation/ViewRanking.m, EntropyPooling/ReadMe.txt

Tags for This File
Everyone's Tags	analysis(2), blacklitterman(2), change of measure, finance(2), modeling(2), monte carlo(2)
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Comments and Ratings (1)
04 Jun 2009	Eddie Seven	also evidently requires the stats toolbox for e.g. mvnrnd (or a 1 line rewrite using chol)

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Updates
03 Sep 2008	Title and keywords incorrect
23 Sep 2008	Added case study on ranking allocation
26 Nov 2008	Updates made to .zip
10 Apr 2009	updated documentation link

Tag Activity for this File
Tag	Applied By	Date/Time
finance	Attilio Meucci	22 Oct 2008 10:17:15
modeling	Attilio Meucci	22 Oct 2008 10:17:15
analysis	Attilio Meucci	22 Oct 2008 10:17:15
blacklitterman	Attilio Meucci	22 Oct 2008 10:17:15
change of measure	Attilio Meucci	22 Oct 2008 10:17:15
monte carlo	Attilio Meucci	22 Oct 2008 10:17:15
analysis	Cristina McIntire	05 Dec 2008 14:41:56
finance	Cristina McIntire	05 Dec 2008 14:41:56
monte carlo	Cristina McIntire	05 Dec 2008 14:41:56
modeling	Cristina McIntire	05 Dec 2008 14:41:56
blacklitterman	Ronald	21 Apr 2009 08:35:55

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