Description Usage Arguments Value Author(s) References
This function computes the mean diversification efficient frontier
1 | MeanTCEntropyFrontier(S, Mu, w_b, w_0, Constr)
|
S |
Covariance Matrix |
Mu |
a matrix containing the expectations |
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 |
a list containing
Weights
Ne_s
R_2_s
m_s
s_S
Manan Shah mkshah@cmu.edu
A. Meucci - "Managing Diversification", Risk Magazine, June 2009 http://ssrn.com/abstract=1358533
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