Beyond Black-Litterman in Practice: A Five-Step Recipe to Input Views on Non-Normal Markets

    Published On 01/03/2011
    Author Name : 
    Attilio Meucci
    Published Date: 
    Thursday, Dec 29, 2005
    Last Update: 
    Thursday, Dec 29, 2005

    The copula-opinion pooling (COP) approach extends in principle the Black-Litterman methodology to non-normally distributed markets and views. However, the implementations of the COP framework presented so far rely on restrictive quasi-normal assumptions. Here we present a general recipe to implement the COP approach in practice under all possible market and views specifications.