We represent affine sub-manifolds of exponential family distributions as minimum relative entropy sub-manifolds. With such representation we derive analytical formulas for the inference from partial information on expectations and covariances of multivariate normal distributions; and we improve...

A novel approach for stress-testing (portfolios of) financial assets is presented. The technique extends the parametric Entropy Pooling approach to skewed and thick-tailed markets. The technique rests on a copula-marginal decomposition for the entropy together with several approximation schemes...

If the distribution of a financial variable is highly non-normal, as is the case for the monthly return of some hedge funds or options, how do we compute the projected annualized skewness and kurtosis? We address this question in greater generality, projecting all the summary statistics of the...

The intuitive meaning of "beta" is well known to all risk and portfolio managers: the beta is the sensitivity of the return on a given asset to a given risk factor. The applications of the "beta" are manifold, from risk computation and analysis to hedging. However, the precise definition and...

We review the main approaches to dynamically reallocate capital between a risky portfolio and a risk-free account: expected utility maximization; option-based portfolio insurance (OBPI); and drawdown control, closely related to constant proportion portfolio insurance (CPPI). We present a...