Beyond Black-Litterman : Views on Non-Normal Markets

We extend the Black-Litterman methodology to generic non-normal market distributions and non-normal views. We draw on the copula and opinion pooling literature to express views directly on the market realizations, instead of the market parameters as in the Black-Litterman case. We compare the two approaches and we show an application to a thick-tailed, skewed and highly dependent market, where the views are expressed as uncertainty ranges

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

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Extent:	1 Online-Ressource (19 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 2005 erstellt
Other identifiers:	10.2139/ssrn.848407 [DOI]
Classification:	C11 - Bayesian Analysis ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012717694