image thumbnail

Historical Scenarios with Fully Flexible Probabilities

version 1.0.0.0 (39.8 KB) by Attilio Meucci
State- and time-dependent risk management through Entropy Pooling

1.5K Downloads

Updated 08 May 2011

View License

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 (2022). Historical Scenarios with Fully Flexible Probabilities (https://www.mathworks.com/matlabcentral/fileexchange/31360-historical-scenarios-with-fully-flexible-probabilities), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2011a
Compatible with any release
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

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

Start Hunting!