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Fully Flexible Extreme Views

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Fully Flexible Extreme Views


Attilio Meucci (view profile)


25 Jan 2010 (Updated )

Entropy Pooling for extreme views on CVaR

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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

Required Products Optimization Toolbox
MATLAB release MATLAB 7.8 (R2009a)
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13 Apr 2012 Judy

Judy (view profile)

09 May 2011 1.1

updated references

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