Code covered by the BSD License
Highlights from
Fully Flexible Views and Stress-testing
- CVaR=ComputeCVaR(Units,Scenar...
- Constr=SetUpConstraints(Secur...
- EfficientFrontier(X,p, Option... This function returns the NumPortf x 1 vector expected returns,
- EntropyProg(p,A,b,Aeq,beq) This function computes the entropy-pooling change of measure, see
- EntropyProg(p,A,b,Aeq,beq) This function computes the entropy-pooling change of measure, see
- EntropyProg(p,A,b,Aeq,beq) This function computes the entropy-pooling change of measure, see
- LongShortMeanCVaRFrontier(PnL... % set up constraints
- M=ImpliedExpRets(S,w)
- PlotDistributions(X,p,Mu,Sigm...
- PlotFrontier(e,s,w)
- PlotResults(e,s,w,M,Lower,Upp...
- PnL=HorizonPricing(Butterflie...
- RobustEfficientFrontier(Targe...
- ViewCurveSlope(X,p) constrain probabilities to sum to one...
- ViewImpliedVol(X,p) constrain probabilities to sum to one...
- ViewRanking(X,p,Lower,Upper) constrain probabilities to sum to one...
- ViewRealizedVol(X,p) constrain probabilities to sum to one...
- [BF_0, BF_D, BF_V, BF_t]=Pric... current price
- [M_, S_]=Prior2Posterior(M,Q,...
- h=pHist(X,p,nBins)
- s=MapVol(sig,y,K,T) in real life a and b below should be calibrated to security-specific time series
- S_MAIN.m
- S_MAIN.m
- S_MAIN.m
- View all files
from
Fully Flexible Views and Stress-testing
by Attilio Meucci
Full generalization of Black-Litterman and related techniques via entropy pooling |
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