Fully Flexible Views in Multivariate Normal Markets
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KeywordsPortfolio construction; tactical allocation; Entropy Pooling; Kullback-Leibler; Black-Litterman; equilibrium prior; portfolios from sorts; ranking; alpha; signals; factor models; risk management;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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