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Fully Flexible Extreme Views

version 1.1 (18.7 KB) by

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 http://symmys.com/node/159

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Judy

Judy (view profile)

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1.1

updated references

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MATLAB 7.8 (R2009a)

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