most citedSystematic Asset Allocation using Flexible Views for South African Markets

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q-fin.PM2019★ 1 cited

Systematic Asset Allocation using Flexible Views for South African Markets

Ann Sebastian, Tim Gebbie

We implement a systematic asset allocation model using the Historical Simulation with Flexible Probabilities (HS-FP) framework developed by Meucci. The HS-FP framework is a flexibl…