Abstract

http://ssrn.com/abstract=1213323
 
 

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Citations (6)



 


 



Enhancing the Black-Litterman and Related Approaches: Views and Stress-Test on Risk Factors


Attilio Meucci


SYMMYS

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.

Number of Pages in PDF File: 11

Keywords: scenario analysis, option trading, views on macro factors, non mean-variance optimization

JEL Classification: C1, G11

working papers series


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Date posted: August 10, 2008 ; Last revised: October 11, 2010

Suggested Citation

Meucci, Attilio, Enhancing the Black-Litterman and Related Approaches: Views and Stress-Test on Risk Factors (August 8, 2008). Available at SSRN: http://ssrn.com/abstract=1213323 or http://dx.doi.org/10.2139/ssrn.1213323

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Attilio Meucci (Contact Author)
SYMMYS ( email )
HOME PAGE: http://www.symmys.com
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