Fully Flexible Views and Stress-testing

Full generalization of Black-Litterman and related techniques via entropy pooling
8,4K téléchargements
Mise à jour 9 mai 2011

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To walk through the code and for a thorough description, refer to
A. Meucci, "Fully Flexible Views: Theory and Practice"

Latest version of article and code available at http://symmys.com/node/158

Citation pour cette source

Attilio Meucci (2024). Fully Flexible Views and Stress-testing (https://www.mathworks.com/matlabcentral/fileexchange/21307-fully-flexible-views-and-stress-testing), MATLAB Central File Exchange. Récupéré le .

Compatibilité avec les versions de MATLAB
Créé avec R2006b
Compatible avec toutes les versions
Plateformes compatibles
Windows macOS Linux
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Version Publié le Notes de version

updated references

Title updated to match publication available online

updated documentation link

Updates made to .zip

Added case study on ranking allocation