Marcello Colasante

ARPM - Advanced Risk and Portfolio Management

Researcher

New York, NY

United States

http://www.arpm.co

  • ARPM - Advanced Risk and Portfolio Management

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Portfolio Construction and Systematic Trading with Factor Entropy Pooling

Risk Magazine, Vol. 27, No. 5, pp. 56-61, 2014
Number of pages: 36 Posted: 13 May 2011 Last Revised: 25 Aug 2014
Attilio Meucci, David Ardia and Marcello Colasante
ARPM - Advanced Risk and Portfolio Management, HEC Montreal - Department of Decision Sciences and ARPM - Advanced Risk and Portfolio Management
Downloads 3,265 (3,389)

Abstract:

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Trading signals, tactical allocation, Black-Litterman, equilibrium prior, shrinkage, risk management, Entropy Pooling, factor models, inequality views, portfolios from sorts, ranking, Kullback-Leibler

2.

Minimum Relative Entropy Inference for Normal and Monte Carlo Distributions

Number of pages: 23 Posted: 17 Nov 2019 Last Revised: 09 Feb 2020
Marcello Colasante and Attilio Meucci
ARPM - Advanced Risk and Portfolio Management and ARPM - Advanced Risk and Portfolio Management
Downloads 36 (462,566)

Abstract:

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Minimum Relative Entropy, Kullback-Leibler, Hamiltonian Monte Carlo, Flexible Probabilities, Exponential-Family Distributions