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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

M=ImpliedExpRets(S,w)
function M=ImpliedExpRets(S,w)

M_=S*w;

s=sqrt(mean(diag(S)));
M=M_/mean(M_)*.5*s;

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