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Systematic asset allocation using flexible views for South African markets
We implement a systematic asset allocation model using the Historical Simulation with Flexible Probabilities (HS-FP) framework developed by Meucci [142, 144, 145]. The HS-FP framework is a flexible non-parametric estimation approach that considers future asset class behavior to be conditional on tim...
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| Format: | Thesis |
| Language: | English |
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Department of Statistical Sciences
2022
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