A Black–Litterman asset allocation model under Elliptical distributions
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Publication:4683054
DOI10.1080/14697688.2013.836283zbMath1398.62330OpenAlexW3125503432MaRDI QIDQ4683054
Publication date: 19 September 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.836283
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Portfolio theory (91G10)
Related Items (11)
Black-Litterman model for continuous distributions ⋮ Stein's lemma for truncated elliptical random vectors ⋮ Capital asset pricing model under distribution uncertainty ⋮ A new class of symmetric distributions including the elliptically symmetric logistic ⋮ A closed-form solution of the Black-Litterman model with conditional value at risk ⋮ A derivation of the Black-Litterman formula and its symmetry property ⋮ Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors ⋮ The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation ⋮ Data-driven robust mean-CVaR portfolio selection under distribution ambiguity ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Multivariate tail conditional expectation for elliptical distributions
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