Pages that link to "Item:Q5423194"

The following pages link to Stable distributions in the Black–Litterman approach to asset allocation (Q5423194):

Displaying 15 items.

• Stable mixture GARCH models (Q528154) (← links)
• The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach (Q951337) (← links)
• Fuzzy views on Black-Litterman portfolio selection model (Q1621186) (← links)
• Black-Litterman model for continuous distributions (Q1622823) (← links)
• On the Bayesian interpretation of Black-Litterman (Q1751675) (← links)
• The dynamic Black-Litterman approach to asset allocation (Q1751931) (← links)
• Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition (Q2001089) (← links)
• Copula-based Black-Litterman portfolio optimization (Q2060420) (← links)
• First jump time in simulation of sampling trajectories of affine jump-diffusions driven by \(\alpha\)-stable white noise (Q2191844) (← links)
• The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation (Q2221479) (← links)
• A closed-form solution of the Black-Litterman model with conditional value at risk (Q2417059) (← links)
• A Black–Litterman asset allocation model under Elliptical distributions (Q4683054) (← links)
• A VaR Black–Litterman model for the construction of absolute return fund-of-funds (Q4911225) (← links)
• A detection algorithm for the first jump time in sample trajectories of jump-diffusions driven by<i>α</i>-stable white noise (Q5076944) (← links)
• Efficient portfolios and extreme risks: a Pareto-Dirichlet approach (Q6546994) (← links)