Historical Scenarios with Fully Flexible Probabilities

Version 1.0.0.0 (39.8 KB) by Attilio Meucci
State- and time-dependent risk management through Entropy Pooling
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Updated 8 May 2011

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To walk through the code and for a thorough description, refer to
A. Meucci, (2010) "Personalized Risk Management: Historical Scenarios with Fully Flexible Probabilities"

Latest version of article and code available at http://www.symmys.com/node/150

Cite As

Attilio Meucci (2024). Historical Scenarios with Fully Flexible Probabilities (https://www.mathworks.com/matlabcentral/fileexchange/31360-historical-scenarios-with-fully-flexible-probabilities), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2011a
Compatible with any release
Platform Compatibility
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Version Published Release Notes
1.0.0.0