conditional and mixture densities as view generators. We use entropy pooling to re-weight the historical distribution to derive …

conditional and mixture densities as view generators. We use entropy pooling to re-weight the historical distribution to derive …

The Entropy Pooling approach in Meucci (2008) is a versatile, general framework to process market views in portfolio … construction and generalized stress-tests in risk management. Here we present an efficient algorithm to implement Entropy Pooling … with fully general views in multivariate normal markets. Then we discuss two applications. First, we use normal Entropy …