File Exchange

image thumbnail

Managing Diversification

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


Updated 09 May 2011

View Version History

View License

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

Cite As

Attilio Meucci (2021). 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

Inspired: Number of Effective Bets Codes

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!