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Fully Flexible Views and Stress-testing

02 Sep 2008 (Updated 09 May 2011)

Full generalization of Black-Litterman and related techniques via entropy pooling

File Information

Description

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

Required Products

Optimization Toolbox

MATLAB release

MATLAB 7.3 (R2006b)

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Everyone's Tags	analysis(5), blacklitterman(6), change of measure(2), finance(3), modeling(2), monte carlo(3)
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Comments and Ratings (2)
27 Jun 2011	Algorithm	forte. grazie attilio
04 Jun 2009	Eddie Seven	also evidently requires the stats toolbox for e.g. mvnrnd (or a 1 line rewrite using chol)

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
14 Oct 2010	Title updated to match publication available online
09 May 2011	updated references