Technical paper/Portfolio
Portfolio construction and systematic trading with factor entropy pooling
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and Marcello Colasante introduce a technique that…
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Cutting edge introduction
A popular copula
