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The possibility that a negative event (such as a loss) will happen.

13
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I was wondering if those who used the entropy pooling code provided by Attilio Meucci had issues with the optimization procedure (especially regarding the fminunc function in Matlab). When I stress fo …
asked Feb 28 '13 by Bytesize
13
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I have a returns process that is drawn from a normal distribution with a nonlinear time-varying drift, so I was wondering if the entropy pooling method still applies or if I need an invariant ?
asked Nov 26 '12 by Bytesize