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Code covered by the BSD License

GenFirstEigVect(S,A)
MaxEntropy(G,w_b,w_0,Constr) Nested function that computes fitness
[E,L,G]=GenPCBasis(S,A) this function computes the conditional principal portfolios
[Weights,Ne_s,R_2_s,m_s,s_s]=... compute conditional principal portfolios
S_MAIN.m
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Managing Diversification

12 Mar 2009 (Updated 09 May 2011)

Entropy-based mean-diversification efficient frontier

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Description

To walk through the code and for a thorough description, refer to
See A. Meucci (2009), "Managing Diversification"

Latest version of article and code available at http://symmys.com/node/199

Required Products

Optimization Toolbox

MATLAB release

MATLAB 7.3 (R2006b)

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Comments and Ratings (1)
25 Oct 2011	Amaranta Pannella	Dear Attilio Meucci. I was very interested in your article about diversification. But when I tried to use the code I always have problem of local minima for fmincon in "MaxEntropy" function. how can I solve them? thank you in advance

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Updates
10 Apr 2009	updated documentation link
09 May 2011	updated references