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Code covered by the BSD License  

Highlights from
Factors on Demand

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from Factors on Demand by Attilio Meucci
Proper implementation of factor models: bottom-up estimation, top-down attribution

[W,F,U]=SeparateMargCop(V) 
function [W,F,U]=SeparateMargCop(V)

[J,K]=size(V);
F=0*V;

[W,C]=sort(V);
for k=1:K
    x=C(:,k);
    y=[1:J];
    xi=[1:J];
    yi = interp1(x,y,xi);
    U(:,k)=yi/(J+1);
    F(:,k)=[1:J]'/(J+1);
end

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