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Fully Flexible Extreme Views

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Fully Flexible Extreme Views

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25 Jan 2010 (Updated )

Entropy Pooling for extreme views on CVaR

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Description

To walk through the code and for a thorough description, refer to
A. Meucci, D. Ardia, S.Keel (2010) "Fully Flexible Extreme Views",

Latest version of article and code available at http://symmys.com/node/159

Required Products Optimization Toolbox
MATLAB release MATLAB 7.8 (R2009a)
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13 Apr 2012 Judy  
Updates
09 May 2011

updated references

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