Attilio Meucci

Economics, Econometrics and Finance · Social Sciences

16h-index1.5kcitations71works0.02yr avg
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Research Topics

Stochastic processes and financial applications(24), Financial Markets and Investment Strategies(22), Financial Risk and Volatility Modeling(18), Risk and Portfolio Optimization(18), Complex Systems and Time Series Analysis(14)

Publications71 total

Risk Parity and Beyond—From Asset Allocation to Risk Allocation Decisions
The Journal of Portfolio Management·2022· 9 cited
Minimum Relative Entropy Inference for Normal and Monte Carlo Distributions
arXiv (Cornell University)·2020Open Access
Minimum Relative Entropy Inference for Normal and Categorical Distributions
SSRN Electronic Journal·2019Open Access
Neither “Normal” nor “Lognormal”: Modeling Interest Rates across All Regimes
Financial Analysts Journal·2016· 15 cited
Dynamic portfolio management with views at multiple horizons
Applied Mathematics and Computation·2015· 12 cited
Risk budgeting and diversification based on optimised uncorrelated factors
BOA (University of Milano-Bicocca)·2015· 11 cited
Dynamic Portfolio Management with Views at Multiple Horizons
SSRN Electronic Journal·2015· 5 citedOpen Access
Smart Betas: Theory and Construction11The author is grateful to Marcello Colasante, Francesco Minotti and Alberto Santangelo.
Elsevier eBooks·2015· 1 cited
Robust Bayesian allocation
The Journal of Investment Strategies·2014· 2 cited
Parametric Stress-Testing in Non-Normal Markets via Entropy Pooling
SSRN Electronic Journal·2014· 4 citedOpen Access
Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions
SSRN Electronic Journal·2013· 37 citedOpen Access
Fully Flexible Views in Multivariate Normal Markets
Cahiers de recherche·2013· 1 cited
Neither 'Normal' Not 'Lognormal': Modeling Interest Rates Across All Regimes
SSRN Electronic Journal·2013· 2 citedOpen Access
Measuring Portfolio Diversification Based on Optimized Uncorrelated Factors
SSRN Electronic Journal·2013· 46 citedOpen Access
Non-Parametric Estimation and Stress-Testing via Entropy Pooling for Flexible Probabilities
SSRN Electronic Journal·2013· 2 citedOpen Access
A Fully Integrated Liquidity and Market Risk Model
Financial Analysts Journal·2012· 2 cited
Effective Number of Scenarios in Fully Flexible Probabilities
SSRN Electronic Journal·2012· 7 citedOpen Access
Stress-Testing with Fully Flexible Causal Inputs
SSRN Electronic Journal·2012· 4 citedOpen Access
Liquidity-, Funding- and Market-Risk Measurement and Stress-Testing
SSRN Electronic Journal·2012· 2 citedOpen Access
Mixing Probabilities, Priors and Kernels via Entropy Pooling
SSRN Electronic Journal·2011· 2 citedOpen Access
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Frequent Co-authors

Romain Deguest(4), David Ardia(3), Lionel Martellini(2), Angela Loregian(2), Marco Nicolosi(2), Gianluca Fusai(1), Alberto Santangelo(1), A. Santangelo(1), Francesco Corielli(1), Marcello Colasante(1), Simon Keel(1)