Fully Flexible Views and Stress-testing

Version 1.6.0.0 (13.8 MB) by Attilio Meucci
Full generalization of Black-Litterman and related techniques via entropy pooling
5.0
(2)
8.4K Downloads
Updated 9 May 2011

View License

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

Cite As

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. Retrieved .

MATLAB Release Compatibility
Created with R2006b
Compatible with any release
Platform Compatibility
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Version Published Release Notes
1.6.0.0

updated references
1.5.0.0

Title updated to match publication available online
1.3.0.0

updated documentation link
1.2.0.0

Updates made to .zip
1.0.0.0

Added case study on ranking allocation