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Managing Diversification

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Entropy-based mean-diversification efficient frontier

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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

Comments and Ratings (2)

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
"MaxEntropy" function.
how can I solve them?
thank you in advance

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MATLAB 7.3 (R2006b)

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