Attilio Meucci
Advanced Risk and Portfolio Management
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Attilio Meucci is the founder of ARPM (Advanced Risk and Portfolio Management). Attilio was the chief risk officer at KKR; the chief risk officer and director of portfolio construction at Kepos Capital; the global head of research for Bloomberg’s risk and portfolio analytics platform; a researcher at Lehman POINT; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co. Attilio is the author of numerous publications. In addition to the ARPM Bootcamp®, he taught at Columbia-IEOR, NYU-Courant (New York), Bocconi University (Milan), and NUS-Business School (Singapore), where he is Visiting Senior Research Fellow at CAMRI.

Attilio earned a BA summa cum laude in Physics from the University of Milan, an MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA charterholder. Attilio is fluent in six languages.

Black-Litterman and Beyond

The Black-Litterman approach has received much attention in the investment management community as the reference methodology to process subjective views on the markets, in a way that gives rise to sensible portfolios. However, the application of the Black-Litterman approach is not always straightforward, as multiple steps are involved to implement the approach.

Furthermore, the Black-Litterman approach is ideal for views on expected returns in normal markets, but not suitable for more general settings, such as views on correlations and volatilities and/or views in non-normal markets. In this presentation we walk through the separate conceptual steps of the Black-Litterman approach. Then we discuss a theoretical framework based on relative entropy minimization that allows us to process arbitrary views on markets with arbitrary distributions.  Third, we discuss implementations of the above theoretical framework