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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

ViewCurveSlope(X,p)
function p_ = ViewCurveSlope(X,p)

[J,K]=size(X);

% constrain probabilities to sum to one...
Aeq = ones(1,J);
beq=1;

% ...constrain the expectation...
V= X(:,14)-X(:,13);
v=.0005;

Aeq=[Aeq
    V'];
beq=[beq
    v];

A=[];
b=[];

% ...compute posterior probabilities
p_ = EntropyProg(p,A,b,Aeq ,beq);

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