Entropy Pooling Intuition
This video explains the intuition behind Entropy Pooling, which is a powerful views and stress-testing method that is thoroughly described in the Portfolio Construction and Risk Management book.
The book is now publicly available for free as PDF at: https://antonvorobets.substack.com/p/...
For a collection of public Entropy Pooling resources, see: https://antonvorobets.substack.com/p/...
You can still contribute to the crowdfunding and get recognition in the preface at: https://igg.me/at/pcrm-book
If you would like to contribute with a smaller amount, please use: https://buymeacoffee.com/antonvorobets
Other links:
Accompanying Python code: https://github.com/fortitudo-tech/pcr...
Open-source site: https://os.fortitudo.tech/
GitHub ⭐: https://github.com/fortitudo-tech/for...
LinkedIn: / antonvorobets
Substack: https://antonvorobets.substack.com
Sequential Entropy Pooling Heuristics: https://ssrn.com/abstract=3936392
Causal and Predictive Market Views and Stress-Testing: https://ssrn.com/abstract=4444291
Derivatives Portfolio Optimization and Parameter Uncertainty: https://ssrn.com/abstract=4825945
