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Fully Flexible Views and Stress-testing

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


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

Comments and Ratings (2)


forte. grazie attilio

Eddie Seven

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


updated references

Title updated to match publication available online

updated documentation link

Updates made to .zip

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