A Scenario Based Allocation Model Using Entropy Pooling for Computing the cenarioProbabilities
We introduce a scenario based allocation model (SBAM) that uses entropy pooling for computing scenario probabilities. Compared to most other models that allow the investor to blend historical data with subjective views about the future, the SBAM does not require the investor to quantify a level of c...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
KTH, Matematisk statistik
2013
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-124026 |