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Managing Diversification

version 1.4.0.0 (8.79 KB) by Attilio Meucci
Entropy-based mean-diversification efficient frontier

7 Downloads

Updated 09 May 2011

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To walk through the code and for a thorough description, refer to
See A. Meucci (2009), "Managing Diversification"

Latest version of article and code available at http://symmys.com/node/199

Cite As

Attilio Meucci (2021). Managing Diversification (https://www.mathworks.com/matlabcentral/fileexchange/23271-managing-diversification), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (2)

Karabo Lekwana

Dear Prof Meucci,

I do not understand the purpose of the matrix G in the case of unconditional analysis. What does it do?

Amaranta Pannella

Dear Attilio Meucci.
I was very interested in your article about diversification.
But when I tried to use the code I always have problem of local minima for fmincon in
"MaxEntropy" function.
how can I solve them?
thank you in advance

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

Inspired: Number of Effective Bets Codes

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