Review of Dynamic Allocation Strategies

Convex versus Concave Management, CPPI, OBPI, portfolio insurance, etc.
Updated 9 May 2011

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To walk through the code and for a thorough description, see
Meucci A., "Review of Dynamic Allocation Strategies"

Latest version of article and code available at

Cite As

Attilio Meucci (2024). Review of Dynamic Allocation Strategies (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009b
Compatible with any release
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updated references