42 citations · 42 across the 2 of their papers we have counts for
2 papers
stat.ML2020
Minimum Relative Entropy Inference for Normal and Monte Carlo Distributions
Marcello Colasante, Attilio Meucci
We represent affine sub-manifolds of exponential family distributions as minimum relative entropy sub-manifolds. With such representation we derive analytical formulas for the infe…
q-fin.PM2010★ 42 cited
Fully Flexible Views: Theory and Practice
Attilio Meucci
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 analysi…