Copula-based Black-Litterman portfolio optimization
type: Item
instance of: scholarly article
title: Copula-based Black-Litterman portfolio optimization
zbMATH Open document ID: 1490.91193
author: Maziar Sahamkhadam
author: Andreas Stephan
author: Ralf Östermark
published in: European Journal of Operational Research
publication date: 2021-12-13T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7442954
zbMATH Keywords: finance
zbMATH Keywords: portfolio optimization
zbMATH Keywords: Black-Litterman framework
zbMATH Keywords: truncated regular vine copula
zbMATH Keywords: tail constraints
zbMATH Keywords: conditional value-at-risk
MaRDI profile type: Publication
full work available at URL: j.ejor.2021.06.015
OpenAlex ID: W3171421931
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DOI: 10.1016/J.EJOR.2021.06.015
description: scientific article; zbMATH DE number 7442954