Portfolio Diversi cation Based on Optimized Uncorrelated Factors
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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- Computational Finance > Financial Toolbox > Portfolio Optimization and Asset Allocation >
- Computational Finance > Risk Management Toolbox >
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Meucci - Minimum Torsion Bets/
Version | Publié le | Notes de version | |
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1.3.0.0 | Removed unnecessary "for" loop |
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1.2.0.0 | Fixed transpose |
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1.1.0.0 | improved torsion function |
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1.0.0.0 |