Black-Litterman model for continuous distributions
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Publication:1622823
DOI10.1016/j.ejor.2018.08.013zbMath1403.91322OpenAlexW3124271141WikidataQ61820841 ScholiaQ61820841MaRDI QIDQ1622823
Andrzej Palczewski, Jan Palczewski
Publication date: 19 November 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://eprints.whiterose.ac.uk/134475/1/BL_ejor-accepted.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
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The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation ⋮ Copula-based Black-Litterman portfolio optimization
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Cites Work
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