Beyond Black-Litterman in Practice : A Five-Step Recipe to Input Views on Non-Normal Markets

The copula-opinion pooling (COP) approach extends in principle 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 we present a general recipe to implement the COP approach in practice under all possible market and views specifications

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Year of publication:	[2010]
Authors:	Meucci, Attilio
Publisher:	[2010]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (15 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2006 erstellt
Other identifiers:	10.2139/ssrn.872577 [DOI]
Classification:	C11 - Bayesian Analysis ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012717684