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Post by Sapphire Capital on Aug 23, 2008 2:34:42 GMT 4
Enhancing the Black-Litterman and Related Approaches: Views and Stress-Test on Risk Factors Attilio Meucci Bloomberg L.P. August 8, 2008 Abstract: The Black-Litterman and related approaches modify the return distribution of a normally distributed market according to views or stress-test scenarios. We discuss how to broaden the range of applications of these approaches significantly by letting them act on the risk factors underlying the market, instead of the returns of the securities. papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1232565_code403805.pdf?abstractid=1213323&mirid=2
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