Search Results - subject:"Entropy pooling"

Sum-of-the-parts revised : economic regimes and flexible probabilities

Haase, Felix - 2024 - First Draft: September 9, 2024

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

Persistent link: https://www.econbiz.de/10015062491

Sum-of-the-parts revised: Economic regimes and flexible probabilities

Haase, Felix - 2024

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

Persistent link: https://www.econbiz.de/10015063433

Scenario design for macrofinancial stress testing

De Meo, Emanuele - In: The journal of risk model validation 16 (2022) 4, pp. 1-36

Persistent link: https://www.econbiz.de/10014239844

Panic-aware portfolio optimization

Zorn, Josef - In: Journal of asset management 20 (2019) 2, pp. 103-110

Persistent link: https://www.econbiz.de/10012059765

Entropy pooling with discrete weights in a time-dependent setting

Van der Schans, Martin - In: Computational economics 53 (2019) 4, pp. 1633-1647

Persistent link: https://www.econbiz.de/10012135580

Fully Flexible Views in Multivariate Normal Markets

Meucci, Attilio; Ardia, David; Keel, Simon - Centre Interuniversitaire sur le Risque, les Politiques … - 2013

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 …

Persistent link: https://www.econbiz.de/10010660036

Value-ranked equity portfolios via entropy pooling

Zorn, Josef - In: The journal of investment strategies 7 (2018) 3, pp. 51-74

Persistent link: https://www.econbiz.de/10012001987

Macroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling

Ardia, David; Guerrouaz, Anas; Rey, Jeanne - In: Assurances et gestion des risques : revue trimestrielle 83 (2016) 3/4, pp. 115-133

Persistent link: https://www.econbiz.de/10011637834