Fully Flexible Views and Stress-testing: M=ImpliedExpRets(S,w) - File Exchange - MATLAB Central

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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
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from Fully Flexible Views and Stress-testing by Attilio Meucci
Full generalization of Black-Litterman and related techniques via entropy pooling

M=ImpliedExpRets(S,w)
function M=ImpliedExpRets(S,w) M_=Sw; s=sqrt(mean(diag(S))); M=M_/mean(M_).5*s;

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