MaxEntropy: This function computes the extreme frontier
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
This function computes the extreme frontier
Usage
1
MaxEntropy(G, w_b, w_0, Constr)
Arguments
G
map weights -> conditional diversification
distribution (square root of, not normalized)
w_b
a matrix containing the benchmark weights
w_0
a matrix containing the initial portfolio
weights
Constr
a list containing the equality and
inequality constraints
Value
x a numeric containing the maximum entropy
N_{ent} \equiv exp \big(-∑_{n=k+1}^N p_{n} ln
p_{n} \big), w_{ \varphi } \equiv argmax_{w \in C, μ'w
≥q \varphi } N_{ent} \big(w\big)
Author(s)
Manan Shah mkshah@cmu.edu
References
A. Meucci - "Managing Diversification", Risk Magazine,
June 2009 - Formula (18,19)
http://ssrn.com/abstract=1358533
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Value Author(s) References
Description
This function computes the extreme frontier
Usage
1 | MaxEntropy(G, w_b, w_0, Constr)
|
Arguments
G |
map weights -> conditional diversification distribution (square root of, not normalized) |
w_b |
a matrix containing the benchmark weights |
w_0 |
a matrix containing the initial portfolio weights |
Constr |
a list containing the equality and inequality constraints |
Value
x a numeric containing the maximum entropy
N_{ent} \equiv exp \big(-∑_{n=k+1}^N p_{n} ln p_{n} \big), w_{ \varphi } \equiv argmax_{w \in C, μ'w ≥q \varphi } N_{ent} \big(w\big)
Author(s)
Manan Shah mkshah@cmu.edu
References
A. Meucci - "Managing Diversification", Risk Magazine, June 2009 - Formula (18,19) http://ssrn.com/abstract=1358533
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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