Dynamic portfolio management with views at multiple horizons

A. Meucci and Marco Nicolosi

Applied Mathematics and Computation, 2016, vol. 274, issue C, 495-518

Abstract: We introduce Dynamic Entropy Pooling, a quantitative technique to perform dynamic portfolio construction with discretionary, non-synchronous views. With Dynamic Entropy Pooling, the portfolio manager can embed in the allocation process subjective views with life spans ranging from minutes to years, calendar views, autocorrelation stress-testing, and the traditional views on expectations, correlations and volatilities.

Keywords: Discretionary allocation; Multivariate Ornstein–Uhlenbeck; Relative entropy; Optimal policy; Dynamic programming; Calculus of variations (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S009630031501471X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:274:y:2016:i:c:p:495-518

DOI: 10.1016/j.amc.2015.11.009

Access Statistics for this article

Applied Mathematics and Computation is currently edited by Theodore Simos

More articles in Applied Mathematics and Computation from Elsevier
Bibliographic data for series maintained by Catherine Liu ().