Opinioni assolutamente flessibili: tra teoria e pratica
Attilio Meucci propone una metodologia unificata per l'utilizzo di opinioni non lineari di un numero qualsiasi di utenti in mercati perfettamente generali e non normali e lo svolgimento, tra le altre cose, di test di stress, analisi di scenario e processi di ranking allocation. Dopo una breve introduzione teorica, l'autore presenta un algoritmo efficiente per implementare facilmente la metodologia proposta sotto ipotesi completamente generali
L'analisi di scenario consente agli operatori di esplorare le implicazioni per un dato portafoglio di un set di opinioni soggettive (views) sulle realizzazioni future di variabili di mercato (cfr., per esempio, Mina e Xiao, 2001). L'approccio pionieristico di Black e Litterman (1990) generalizza l'analisi di scenario aggiungendo l'incertezza sulle opinioni e sul modello di rischio di riferimento. Ulteriori generalizzazioni sono state proposte negli anni recenti da Qian e Gorman (2001), che
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