Managing Diversification: All Files - File Exchange

Code covered by the BSD License

Highlights from
Managing Diversification

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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from Managing Diversification by Attilio Meucci
Entropy-based mean-diversification efficient frontier

All files for Managing Diversification

/MeanDiversifFrontier/Data.mat
/MeanDiversifFrontier/GenFirstEigVect.m
/MeanDiversifFrontier/GenPCBasis.m
/MeanDiversifFrontier/MaxEntropy.m
/MeanDiversifFrontier/MeanTCEntropyFrontier.m
/MeanDiversifFrontier/S_MAIN.m
/license.txt

Highlights from Managing Diversification

Highlights from
Managing Diversification