Comparison and robustification of Bayes and Black-Litterman models
type: Item
instance of: scholarly article
title: Comparison and robustification of Bayes and Black-Litterman models
zbMATH Open document ID: 1196.93102
author: Katrin Schöttle
author: Ralf Werner
author: R. Zagst
published in: Mathematical Methods of Operations Research
publication date: 2010-09-08T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 91B10
zbMATH DE Number: 5781211
zbMATH Keywords: portfolio optimization
zbMATH Keywords: robust optimization
zbMATH Keywords: Bayes model
zbMATH Keywords: Black-Litterman model
MaRDI profile type: Publication
full work available at URL: s00186-010-0302-9
OpenAlex ID: W2068549801
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cites work: Robust convex optimization
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cites work: Q3996150
cites work: Robust Portfolio Selection Problems
cites work: Risk and asset allocation.
cites work: Q4403179
cites work: Robustness properties of mean-variance portfolios
DOI: 10.1007/S00186-010-0302-9
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description: scientific article; zbMATH DE number 5781211