Views on Non-normal markets

Views on non-Normal markets [53]

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Bullet points include: Output results are notoriously sensitive to input assumptions. Possible responses: Treat quant models with scepticism (the fundamental manager’s approach?). Use robust approaches or Bayesian priors/anchors, e.g. Black-Litterman, shrinkage etc. Focus on reverse optimisation

Bullet points include: Output results are notoriously sensitive to input assumptions. Possible responses: Treat quant models with scepticism (the fundamental manager’s approach?). Use robust approaches or Bayesian priors/anchors, e.g. Black-Litterman, shrinkage etc. Focus on reverse optimisation

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