Enhancing the Black–Litterman and related approaches: Views and stress-test on risk factors

Attilio Meucci ()

Journal of Asset Management, 2009, vol. 10, issue 2, No 3, 89-96

Abstract: Abstract The Black–Litterman and related approaches modify the return distribution of a normally distributed market according to views or stress-test scenarios. We discuss how to broaden the range of applications of these approaches significantly by letting them act on the risk factors underlying the market, instead of the returns of the securities. Code implementing the models discussed here can be found at www.symmys.com>Teaching>MATLAB.

Keywords: scenario analysis; option trading; views on macro factors; non-mean-variance optimisation (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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DOI: 10.1057/jam.2008.42

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