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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

Cite As

Attilio Meucci (2021). Fully Flexible Views and Stress-testing (https://www.mathworks.com/matlabcentral/fileexchange/21307-fully-flexible-views-and-stress-testing), MATLAB Central File Exchange. Retrieved .

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)

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

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