Portfolio Diversi…cation Based on Optimized Uncorrelated Factors

Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution

Version 1.3.0.0 (2.06 MB)
2.7K Downloads
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19 Aug 2014

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To walk through the code and for a thorough description, refer to A. Meucci et al. "Measuring Portfolio Diversi…cation
Based on Optimized Uncorrelated Factors", to appear September 2013).
Latest version of article and code available at http://symmys.com/node/599

Cite As

Attilio Meucci (2026). Portfolio Diversi…cation Based on Optimized Uncorrelated Factors (https://www.mathworks.com/matlabcentral/fileexchange/43245-portfolio-diversi-cation-based-on-optimized-uncorrelated-factors), MATLAB Central File Exchange. Retrieved .

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General Information

MATLAB Release Compatibility

  • Compatible with any release

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  • Windows
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  • Linux
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Version Published Release Notes
1.3.0.0

Removed unnecessary "for" loop

1.2.0.0

Fixed transpose
1.1.0.0

improved torsion function
1.0.0.0