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Fully Flexible Views and Stress-testing

5.0 | 1 rating Rate this file 18 Downloads (last 30 days) File Size: 13.8 MB File ID: #21307 Version: 1.6
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Fully Flexible Views and Stress-testing



02 Sep 2008 (Updated )

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

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To walk through the code and for a thorough description, refer to
A. Meucci, "Fully Flexible Views: Theory and Practice"

Latest version of article and code available at

Required Products Optimization Toolbox
MATLAB release MATLAB 7.3 (R2006b)
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Comments and Ratings (2)
27 Jun 2011 Algorithm

forte. grazie attilio

04 Jun 2009 Eddie Seven

also evidently requires the stats toolbox for e.g. mvnrnd (or a 1 line rewrite using chol)

Comment only
03 Sep 2008

Title and keywords incorrect

26 Nov 2008 1.2

Updates made to .zip

10 Apr 2009 1.3

updated documentation link

14 Oct 2010 1.5

Title updated to match publication available online

09 May 2011 1.6

updated references

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