Entropy Pooling

Ranking views using entropy pooling in quant analytics

Ranking views using entropy pooling in quant analytics Hi everybody, I wanted to ask you about ranking views on expectations (as in http://symmys.com/node/158), because I encountered an unexpected problem. I apply the entropy pooling on a portfolio of N stocks, and I use only the simple-returns as risk-factors: – View specified as a full-ranking ( …

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Entropy Pooling in Quant analytics—> Portfolio Optimization?

By caustic

Entropy Pooling in Quant analytics—> Portfolio Optimization? I confess I am charmed by the speed and elegance of the entropy-pooling approach. In Meucci’s paper “Fully Flexible Views – Theory and Practice” paper it states in the Introduction: “The output [of entropy pooling] is a distribution, which we call “posterior”, that incorporates all inputs and can …

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Entropy Pooling

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