Dynamic Portfolio Management with Views at Multiple Horizons

Version 1.0 (49.5 KB) by Attilio Meucci
Dynamic Entropy Pooling for dynamic portfolio construction with discretionary, non-synchronous views
5.0
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845 Downloads
Updated 17 Jun 2015

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To walk through the code and for a thorough description, refer to A. Meucci and M. Nicolosi "Dynamic Portfolio Management with Views at Multiple Horizons".
Latest version of article and code available at http://symmys.com/node/831

Cite As

Attilio Meucci (2024). Dynamic Portfolio Management with Views at Multiple Horizons (https://www.mathworks.com/matlabcentral/fileexchange/51224-dynamic-portfolio-management-with-views-at-multiple-horizons), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2014b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Meucci Nicolosi _ Dynamic Portfolio Management - Matlab Code/functions/

Meucci Nicolosi _ Dynamic Portfolio Management - Matlab Code/scripts/

Version Published Release Notes
1.0