Portfolio Diversi cation Based on Optimized Uncorrelated Factors
Updated Tue, 19 Aug 2014 04:44:57 +0000
To walk through the code and for a thorough description, refer to A. Meucci et al. "Measuring Portfolio Diversi
Based on Optimized Uncorrelated Factors", to appear September 2013).
Latest version of article and code available at http://symmys.com/node/599
Attilio Meucci (2023). 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 .
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