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Topic discussion > Programming Questions > Optimization procedure for entropy pooling

Optimization procedure for entropy pooling

MoneyScience
Sep 10 2019 15:45

 

I was wondering if those who used the entropy pooling code provided by Attilio Meucci had issues with the optimization procedure (especially regarding the fminunc function in Matlab). When I stress for example the expectation and the volatility, I get weird results for some stress values Stock price distribution with stress values 100 for expectation and 20 for volatility, prior in blue, posterior in red

and the following warning:

Local minimum possible:
fminunc stopped because the final change in function value relative to
its initial value is less than the selected value of the function tolerance.

How can one deal with this ?

For information, the image represents a stock price distribution with stress values 100 for expectation and 20 for volatility, prior in blue, posterior in red.

Via Bytesize at StackExchange

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