uncorbets

MaRDI QIDQ121188CRANFDO

Authors Bernardo Reckziegel

Last update 20 February 2024

Copyright license MIT license, File License

Software version identifier 0.1.1, 0.1.0, 0.1.2

Description

Implements Minimum Torsion for portfolio diversification as described in Meucci, Attilio (2013) <doi:10.2139/ssrn.2276632>.

Cites work

• Measuring Portfolio Diversification Based on Optimized Uncorrelated Factors

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