On the Bayesian interpretation of Black-Litterman
type: Item
instance of: scholarly article
title: On the Bayesian interpretation of Black-Litterman
zbMATH Open document ID: 1395.91412
author: P. Kolm
author: William Gordon Ritter
published in: European Journal of Operational Research
publication date: 2018-05-25T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62F15
zbMATH DE Number: 6873526
zbMATH Keywords: finance
zbMATH Keywords: investment analysis
zbMATH Keywords: Bayesian statistics
zbMATH Keywords: Black-Litterman
zbMATH Keywords: portfolio optimization
describes a project that uses: BayesDA
MaRDI profile type: Publication
full work available at URL: j.ejor.2016.10.027
OpenAlex ID: W2532339033
cites work: Q5618987
cites work: Q4756606
cites work: Q3560005
cites work: Common risk factors in the returns on stocks and bonds
cites work: Stable distributions in the Black–Litterman approach to asset allocation
cites work: 60 years of portfolio optimization: practical challenges and current trends
cites work: Risk Aversion in the Small and in the Large
cites work: The Bayesian Choice
cites work: Q4864293
DOI: 10.1016/J.EJOR.2016.10.027
description: scientific article; zbMATH DE number 6873526