INVESTMENT MANAGEMENT: Beyond Black-Litterman in practice - In principle, the copula-opinion pooling (COP) approach extends 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, the author presents a general recipe to implement the COP approach in practice ...
Year of publication: |
2006
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Authors: | Meucci, Attilio |
Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 19.2006, 9, p. 114-119
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