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Meucci covers this example precisely in his paper "Fully Flexible Views: Theory & Practice". You can find his code here for three examples related to the paper. The Butterfly Trading example covers the CVAR scenario.


So long as it is possible to simulate the distribution of log returns to the investor's horizon and convert them to prices that serve as an input into the portfolio optimization, it is possible to apply the general Entropy Pooling algorithm to either the log returns or the prices. Whatever care needs to be taken when applying the EP algorithm in its ...


I can't get access to the full version to Meucci's original paper on Entropy Pooling (EP), Fully Flexible Views: Theory and Practice, and I hence had a look again at the abstract: 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 ...


Meucci's original paper doesn't state any limitations on prior distribution to which Entropy Pooling (EP) is applied. However, I see two possible issues. The first problem is that it currently seems to be no place for incorporating time changing parameters or views on a prior distribution in the EP. Therefore, some additional work is required to apply it ...

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