Investment management - Fully flexible views: Theory and practice - The author proposes a unified methodology to input non-linear views from any number of users in fully general non-normal markets and perform, among others, stress testing, scenario analysis and ranking allocation. He walks the reader through the theory and details an efficient algorithm to easily implement this methodology under ...
| Year of publication: |
2008
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|---|---|
| Authors: | Meucci, Attilio |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 21.2008, 10, p. 97-103
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