Portfolio Diversi…cation Based on Optimized Uncorrelated Factors

Version 1.3.0.0 (2.06 MB) by Attilio Meucci
Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution
5.0
(2)
2.7K Downloads
Updated 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 (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. Retrieved .

MATLAB Release Compatibility
Created with R2013a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Meucci - Minimum Torsion Bets/

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