Portfolio construction and systematic trading with factor entropy pooling

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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 entrop

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