Essays about: "mean-ES trade-off"
Found 1 essay containing the words mean-ES trade-off.
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1. Analysis of Copula Opinion Pooling with Applications to Quantitative Portfolio Management
University essay from KTH/Matematisk statistikAbstract : In 2005 Attilio Meucci presented his article Beyond Black-Litterman: Views on Non-Normal Markets which introduces the copula opinion pooling approach using generic non-normal market assumptions. Copulas and opinion pooling are used to express views on the market which provides a posterior market distribution that smoothly blends an arbitrarily distributed market prior distribution with arbitrarily chosen views. READ MORE
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