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Fully flexible extreme views
Auteur(s)
Date de parution
2011
In
Journal of Risk
Vol.
2
No
14
De la page
39
A la page
49
Revu par les pairs
1
Mots-clés
Résumé
We 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.
Identifiants
Autre version
http://www.risk.net/journal-of-risk/technical-paper/2161037/fully-flexible-extreme-views
Type de publication
journal article
Dossier(s) à télécharger
