Code covered by the BSD License
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GenFirstEigVect(S,A)
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MaxEntropy(G,w_b,w_0,Constr)
Nested function that computes fitness
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[E,L,G]=GenPCBasis(S,A)
this function computes the conditional principal portfolios
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[Weights,Ne_s,R_2_s,m_s,s_s]=...
compute conditional principal portfolios
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S_MAIN.m
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View all files
from
Managing Diversification
by Attilio Meucci
Entropy-based mean-diversification efficient frontier
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| MaxEntropy(G,w_b,w_0,Constr)
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function x = MaxEntropy(G,w_b,w_0,Constr)
x = fmincon(@nestedfun,w_0,Constr.A,Constr.b,Constr.Aeq,Constr.beq);
% Nested function that computes fitness
function Minus_Ent = nestedfun(x)
v_=G*(x-w_b);
p=v_.*v_;
R_2=max(10^(-10),p/sum(p));
Minus_Ent=R_2'*log(R_2);
end
end
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