A Heteroskedastic Black–Litterman Portfolio Optimization Model with Views Derived from a Predictive Regression (Q5139402)
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scientific article; zbMATH DE number 7283226
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Heteroskedastic Black–Litterman Portfolio Optimization Model with Views Derived from a Predictive Regression |
scientific article; zbMATH DE number 7283226 |
Statements
A Heteroskedastic Black–Litterman Portfolio Optimization Model with Views Derived from a Predictive Regression (English)
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9 December 2020
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Markowitz modern portfolio theory
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Black-Litterman model
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GARCH model
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EGARCH model
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investor's views
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volatility clustering
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