Dispersion of Beliefs Bounds replication package
Purpose
This documentation provides comprehensive guidance for utilizing our replication library, designed to replicate the methodologies presented in Pazarbasi, Altan, Schneider, Paul Georg, and Vilkov, Grigory. Dispersion of Beliefs Bounds: Sentimental Recovery. Swiss Finance Institute Research Paper No. 19-57, Management Science, forthcoming. Available at SSRN or DOI. The library comes in two versions: R and Python and both versions leverage the Mosek C++ API and the Eigen library to deliver efficient and accurate computations.
The primary objective of this library is to implement a novel model-free recovery approach that extracts a forward-looking bound on the dispersion of beliefs (DBB) from asset prices. For a comprehensive understanding of the theoretical framework, underlying assumptions, and detailed application of this model, please refer to the Pazarbasi, Altan, Schneider, Paul Georg, and Vilkov, Grigory. Dispersion of Beliefs Bounds: Sentimental Recovery. Swiss Finance Institute Research Paper No. 19-57, Management Science, forthcoming. Available at SSRN or DOI.
Structure of the documentation
To facilitate ease of use and ensure a seamless experience, this documentation is organized into the following sections:
This section provides step-by-step instructions for installing the R and Python versions of the library. It includes information on system requirements, dependencies, and troubleshooting common installation issues. Detailed guides ensure that users can get the library up and running with minimal effort.
The getting started section is designed to help users quickly familiarize themselves with the library's basic functionalities. It includes tutorials and simple examples demonstrating how to perform fundamental tasks using the library. This section aims to provide a smooth onboarding experience, enabling users to start leveraging the library's capabilities right away.
The API references section serves as a comprehensive guide to the library's functions, classes, and methods. It provides detailed descriptions of each component, including parameters, return values, and usage examples. This section is essential for users who want to explore the library's full range of functionalities and integrate it into their own projects.
The license agreement section outlines the terms and conditions under which the library can be used. It includes information about user rights, limitations, and obligations. The library is distributed under the MIT licence. Users are encouraged to review the license agreement carefully to ensure compliance and to understand their legal rights and responsibilities.
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