Entropy Pooling in Quant analytics---> Portfolio Optimization?
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…
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