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updated almost 4 years ago

Managing Diversification by Attilio Meucci

Attilio Meucci (view profile)

Entropy-based mean-diversification efficient frontier (portfolio management, financial engineering, quantitative finance)

GenFirstEigVect(S,A)

MaxEntropy(G,w_b,w_0,Constr)

[E,L,G]=GenPCBasis(S,A)

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