Code covered by the BSD License  

Highlights from
Fully Flexible Views and Stress-testing

image thumbnail

Fully Flexible Views and Stress-testing

by

Attilio Meucci (view profile)

 

02 Sep 2008 (Updated )

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

EntropyPooling.zip
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/SetUpConstraints.m
EntropyPooling/ButterflyTrading/S_MAIN.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
license.txt

Contact us