Fully Flexible Views: Theory and Practice
Risk, 21, 10, 97-102 (2008)

    Published On 01/03/2011
    Author Name : 
    Attilio Meucci
    Published Date: 
    Sunday, Aug 10, 2008
    Last Update: 
    Sunday, Aug 10, 2008

    We propose a unified methodology to input non-linear views from any number of users in fully general non-normal markets, and perform, among others, stress-testing, scenario analysis, and ranking allocation. We walk the reader through the theory and we detail an extremely efficient algorithm to easily implement this methodology under fully general assumptions. As it turns out, no repricing is ever necessary, hence the methodology can be readily applied to books with complex derivatives. We also present an analytical solution, useful for benchmarking, which per se generalizes notable previous results Feedback? Questions? send us an email at info@symmys.com.