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Managing Diversification

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Managing Diversification

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12 Mar 2009 (Updated )

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

Updates
10 Apr 2009

updated documentation link

09 May 2011

updated references

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