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Portfolio Diversi…cation Based on Optimized Uncorrelated Factors

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Portfolio Diversi…cation Based on Optimized Uncorrelated Factors

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29 Aug 2013 (Updated )

Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution

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Description

To walk through the code and for a thorough description, refer to A. Meucci et al. "Measuring Portfolio Diversi…cation
Based on Optimized Uncorrelated Factors", to appear September 2013).
Latest version of article and code available at http://symmys.com/node/599

Required Products MATLAB
MATLAB release MATLAB 8.1 (R2013a)
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Comments and Ratings (1)
17 Nov 2013 David Gerhard D

i cannot open it with 2013b:

Error using open (line 100)
File blblabl\*.m not found (with all 3 files). Any Idea ? Compatibility problems with 13a vs 13b?

Updates
03 Sep 2013

improved torsion function

13 Jan 2014

Fixed transpose

19 Aug 2014

Removed unnecessary "for" loop

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