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Fully Flexible Views and Stress-testing

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Fully Flexible Views and Stress-testing

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02 Sep 2008 (Updated )

Full generalization of Black-Litterman and related techniques via entropy pooling

CVaR=ComputeCVaR(Units,Scenarios,Conf)
function CVaR=ComputeCVaR(Units,Scenarios,Conf)

PnL=Scenarios*Units;
Sort_PnL=sort(PnL);

J=length(PnL);
Cut=round(J*(1-Conf));

CVaR=-mean(Sort_PnL(1:Cut));

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