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Managing Diversification

by Attilio Meucci

 

12 Mar 2009 (Updated 10 Apr 2009)

Code covered by BSD License  

Entropy-based mean-diversification efficient frontier

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Description

See A. Meucci, "Managing Diversification", Risk Magazine, May 2009, extended version available here http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1358533

Required Products Optimization Toolbox
MATLAB release MATLAB 7.3 (R2006b)
Zip File Content  
Other Files MeanDiversifFrontier/Data.mat,
MeanDiversifFrontier/GenFirstEigVect.m,
MeanDiversifFrontier/GenPCBasis.m,
MeanDiversifFrontier/MaxEntropy.m,
MeanDiversifFrontier/MeanTCEntropyFrontier.m,
MeanDiversifFrontier/S_MAIN.m
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Updates
10 Apr 2009

updated documentation link

Tag Activity for this File
Tag Applied By Date/Time
portfolio management Attilio Meucci 12 Mar 2009 16:36:09
financial engineering Attilio Meucci 12 Mar 2009 16:36:09
portfolio management Kevin 01 Oct 2009 21:04:13
 

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