Portfolio construction and systematic trading with factor entropy pooling

techtree2

Processing trading signals or views on the market to compute an optimal allocation is one of the main challenges in quantitative portfolio construction. Similarly, embedding stress tests in a risk model in a statistically sound way is key to a healthy risk management process. The generalised Bayesian approach known as entropy pooling, which is laid out in full generality in Meucci (2008), is a flexible framework for processing views and embedding generalised stress tests. The inputs to entropy

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here