Non-linear mixture of asset return models

Non-linear mixture of asset return models

chalkboard model

When quantitatively determining a portfolio’s asset allocation, a blend of different models’ outputs can be used. Traditional subjective expected utility (SEU) methods do so linearly, and as such cannot capture non-linear strategies used to guard against the uncertainty over how accurately a model reflects the  real-world distribution. For instance, it may be desirable to cap possible allocations to guard against models excessively overweighting a given asset, or to penalise the outliers when mo

To continue reading...

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 indvidual account here: