Portfolio Diversi…cation Based on Optimized Uncorrelated Factors

Version 1.3.0.0 (2,06 Mo) par Attilio Meucci
Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution
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2,7K téléchargements
Mise à jour 19 août 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

Citation pour cette source

Attilio Meucci (2024). 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. Récupéré le .

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Meucci - Minimum Torsion Bets/

Version Publié le Notes de version
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