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Fully Flexible Views and Stress-testing

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Fully Flexible Views and Stress-testing

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02 Sep 2008 (Updated )

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

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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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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

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

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