Attilio Meucci, David Ardia, Marcello Colosante: The Entropy Pooling approach is a versatile theoretical framework to process market views and generalised stress-tests into an optimal “posterior” market distribution, which is then used for risk management and portfolio management.
Research Associate, EDHEC-Risk Institute
Assistant Professor of Finance, Laval University
|Type :||Working paper|
|Date :||le 06/01/2014|
|Extra information :||For more information, please contact EDHEC Research and Development Department [ firstname.lastname@example.org ]|
|Research Cluster :||Finance|