Fully Flexible Views and Stress-testing
02 Sep 2008
09 May 2011)
Full generalization of Black-Litterman and related techniques via entropy pooling
function p_ = ViewRanking(X,p,Lower,Upper)
% constrain probabilities to sum to one...
Aeq = ones(1,J);
% ...constrain the expectations...
V=X(:,Lower) - X(:,Upper);
A = V';
b = 0;
% ...compute posterior probabilities
p_ = EntropyProg(p,A,b,Aeq ,beq);