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
Dear Prof Meucci,
I do not understand the purpose of the matrix G in the case of unconditional analysis. What does it do?
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
how can I solve them?
thank you in advance
updated documentation link