Managing Diversification: GenFirstEigVect(S,A) - File Exchange

Code covered by the BSD License

GenFirstEigVect(S,A)
MaxEntropy(G,w_b,w_0,Constr) Nested function that computes fitness
[E,L,G]=GenPCBasis(S,A) this function computes the conditional principal portfolios
[Weights,Ne_s,R_2_s,m_s,s_s]=... compute conditional principal portfolios
S_MAIN.m
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from Managing Diversification by Attilio Meucci
Entropy-based mean-diversification efficient frontier

GenFirstEigVect(S,A)
function e = GenFirstEigVect(S,A) N=size(S,1); P=eye(N); if rank(A)>0 P=eye(N)-A'inv(AA')A; end [E_,L_]=eig(PS*P'); [m,I]=max(diag(L_)); e=E_(:,I);