Stable distributions in the Black–Litterman approach to asset allocation

DOI10.1080/14697680701442731zbMath1190.91136OpenAlexW2009586335MaRDI QIDQ5423194

Marida Bertocchi, Rosella Giacometti, Frank J. Fabozzi, Svetlozar T. Rachev

Publication date: 22 October 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701442731

zbMATH Keywords

risk measuresBlack-Litterman modelreturn distributions

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
• The impact of fat tailed returns on asset allocation
• Generalized convolutions on \(\mathbf R\) with applications to financial modeling
• Coherent Measures of Risk