Options
Ardia, David
Nom
Ardia, David
Affiliation principale
Fonction
Ancien.ne collaborateur.trice
Identifiants
Résultat de la recherche
Voici les éléments 1 - 1 sur 1
- PublicationAccès libreFully flexible extreme views(2011)
; Keel, SimonWe extend the entropy pooling generalization of the Black-Litterman approach to effectively handle extreme views on the tails of a distribution. First, we provide a recursive algorithm to process views on conditional value-at-risk which cannot be handled directly by the original implementation of entropy pooling. Second, we represent both the prior and the posterior distribution on a grid instead of using Monte Carlo scenarios. This way it becomes possible to parsimoniously cover even the far tails of the underlying distribution. Documented code is available to download.