Historical Scenarios with Fully Flexible Probabilities
State- and time-dependent risk management through Entropy Pooling
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To walk through the code and for a thorough description, refer to
A. Meucci, (2010) "Personalized Risk Management: Historical Scenarios with Fully Flexible Probabilities"
Latest version of article and code available at http://www.symmys.com/node/150
Cite As
Attilio Meucci (2026). Historical Scenarios with Fully Flexible Probabilities (https://www.mathworks.com/matlabcentral/fileexchange/31360-historical-scenarios-with-fully-flexible-probabilities), MATLAB Central File Exchange. Retrieved .
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General Information
- Version 1.0.0.0 (39.8 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
