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Fully Flexible Views and Stress-testing

version 1.6.0.0 (13.8 MB) by Attilio Meucci
Full generalization of Black-Litterman and related techniques via entropy pooling

6 Downloads

Updated 09 May 2011

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To walk through the code and for a thorough description, refer to
A. Meucci, "Fully Flexible Views: Theory and Practice"

Latest version of article and code available at http://symmys.com/node/158

Comments and Ratings (2)

Algorithm

forte. grazie attilio

Eddie Seven

also evidently requires the stats toolbox for e.g. mvnrnd (or a 1 line rewrite using chol)

Updates

1.6.0.0

updated references

1.5.0.0

Title updated to match publication available online

1.3.0.0

updated documentation link

1.2.0.0

Updates made to .zip

1.0.0.0

Added case study on ranking allocation

Title and keywords incorrect

MATLAB Release Compatibility
Created with R2006b
Compatible with any release
Platform Compatibility
Windows macOS Linux