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14
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Meucci, Attilio
15
Fusai, Gianluca
2
Ardia, David
1
Keel, Simon
1
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Risk : managing risk in the world's financial markets
10
Journal of banking & finance
2
Financial analysts' journal : FAJ
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Journal of risk
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The journal of asset management
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OLC EcoSci
ECONIS (ZBW)
46
RePEc
3
USB Cologne (EcoSocSci)
2
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1
Enhancing the Black-Litterman and related approaches : views and stress-test factors
Meucci, Attilio
- In:
The journal of asset management
10
(
2009/10
)
2
,
pp. 89-96
Persistent link: https://www.econbiz.de/10009871040
Saved in:
2
CUTTING EDGE: Investment management - Risk contributions from generic user-defined factors - In this article, the author draws on regression analysis to decompose volatility, value-at-risk and expected shortfail into arbitrary combinations or aggregations of risk factors, and presents a simple recipe to implement this approach in practice.
Meucci, Attilio
- In:
Risk : managing risk in the world's financial markets
20
(
2007
)
6
,
pp. 84-88
Persistent link: https://www.econbiz.de/10007746064
Saved in:
3
CUTTING EDGE - Investment management - Managing diversification - The author introduces a diversification index that represents the effective number of bets in a portfolio. With this index, based on entropy and constrained principal component analysis, he performs mean-diversification management adjusted for transaction costs using a parsimonious set of optimal trades.
Meucci, Attilio
- In:
Risk : managing risk in the world's financial markets
22
(
2009
)
5
,
pp. 74-79
Persistent link: https://www.econbiz.de/10008257106
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4
Pricing discretely monitored Asian options under Lévy processes
Fusai, Gianluca
;
Meucci, Attilio
- In:
Journal of banking & finance
32
(
2008
)
10
,
pp. 2076-2088
Persistent link: https://www.econbiz.de/10008099631
Saved in:
5
Book review - Risk and Asset Allocation
Meucci, Attilio
- In:
Risk : managing risk in the world's financial markets
19
(
2006
)
4
,
pp. 77
Persistent link: https://www.econbiz.de/10007271020
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6
CUTTING EDGE INVESTMENT MANAGEMENT - Beyond Black-Litterman: views on non-normal markets
Meucci, Attilio
- In:
Risk : managing risk in the world's financial markets
19
(
2006
)
2
,
pp. 87-92
Persistent link: https://www.econbiz.de/10007019764
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7
INVESTMENT MANAGEMENT: Beyond Black-Litterman in practice - In principle, the copula-opinion pooling (COP) approach extends the Black-Litterman methodology to non-normally distributed markets and views. However, the implementations of the COP framework presented so far rely on restrictive quasi-normal assumptions, Here, the author presents a general recipe to implement the COP approach in practice ...
Meucci, Attilio
- In:
Risk : managing risk in the world's financial markets
19
(
2006
)
9
,
pp. 114-119
Persistent link: https://www.econbiz.de/10007383515
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8
Asset management - Stress testing with fully flexible causal inputs
Meucci, Attilio
- In:
Risk : managing risk in the world's financial markets
25
(
2012
)
4
,
pp. 63-68
Persistent link: https://www.econbiz.de/10009968790
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9
Fully flexible extreme views
Meucci, Attilio
;
Ardia, David
;
Keel, Simon
- In:
Journal of risk
14
(
2012
)
2
,
pp. 39-51
Persistent link: https://www.econbiz.de/10009816301
Saved in:
10
A Fully Integrated Liquidity and Market Risk Model
Meucci, Attilio
- In:
Financial analysts' journal : FAJ
68
(
2012
)
6
,
pp. 94-105
Persistent link: https://www.econbiz.de/10010053750
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