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Enhancing the Black-Litterman and related approaches : views and stress-test factors
Meucci, Attilio - In: The journal of asset management 10 (2009/10) 2, pp. 89-96
Persistent link: https://www.econbiz.de/10009871040
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INVESTMENT MANAGEMENT: Beyond Black-Litterman in practice - In principle, the copula-opinion pooling (COP) approach extends the Black-Litterman methodology to non-normally distribu...
Meucci, Attilio - In: Risk : managing risk in the world's financial markets 19 (2006) 9, pp. 114-119
Persistent link: https://www.econbiz.de/10007383515
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Book review - Risk and Asset Allocation
Meucci, Attilio - In: Risk : managing risk in the world's financial markets 19 (2006) 4, pp. 77
Persistent link: https://www.econbiz.de/10007271020
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CUTTING EDGE - Investment management - Managing diversification - The author introduces a diversification index that represents the effective number of bets in a portfolio. With th...
Meucci, Attilio - In: Risk : managing risk in the world's financial markets 22 (2009) 5, pp. 74-79
Persistent link: https://www.econbiz.de/10008257106
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CUTTING EDGE: Investment management - Risk contributions from generic user-defined factors - In this article, the author draws on regression analysis to decompose volatility, value...
Meucci, Attilio - In: Risk : managing risk in the world's financial markets 20 (2007) 6, pp. 84-88
Persistent link: https://www.econbiz.de/10007746064
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Asset management - Stress testing with fully flexible causal inputs
Meucci, Attilio - In: Risk : managing risk in the world's financial markets 25 (2012) 4, pp. 63-68
Persistent link: https://www.econbiz.de/10009968790
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CUTTING EDGE INVESTMENT MANAGEMENT - Beyond Black-Litterman: views on non-normal markets
Meucci, Attilio - In: Risk : managing risk in the world's financial markets 19 (2006) 2, pp. 87-92
Persistent link: https://www.econbiz.de/10007019764
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Pricing discretely monitored Asian options under Lévy processes
Fusai, Gianluca; Meucci, Attilio - In: Journal of banking & finance 32 (2008) 10, pp. 2076-2088
Persistent link: https://www.econbiz.de/10008099631
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Risk management - A new breed of copulas for risk and portfolio management
Meucci, Attilio - In: Risk : managing risk in the world's financial markets 24 (2011) 9, pp. 110-115
Persistent link: https://www.econbiz.de/10009328988
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Pricing discretely monitored Asian options under Lévy processes
Fusai, Gianluca; Meucci, Attilio - In: Journal of banking & finance 32 (2008) 10, pp. 2076-2089
Persistent link: https://www.econbiz.de/10008897705