half_life

Compute the implied half-life of a decay parameter.

Implements numerical entropy-pooling for portfolio construction and
scenario analysis as described in Meucci, Attilio (2008) and Meucci, Attilio (2010)
<doi:10.2139/ssrn.1696802>.

Bernardo Reckziegel

Fully Flexible Probabilities for Stress Testing and Portfolio
Construction

half_life function

<dl><dt>lambda</dt>
<dd>A number.</dd></dl>

Arguments

Half-Life Calculation — half_life

<dl>

<dt>lambda</dt>
<dd>A number.</dd>

</dl>

half_life: Half-Life Calculation

Description

Usage

Value

Arguments

See Also

Examples