A VaR Black–Litterman model for the construction of absolute return fund-of-funds (Q4911225): Difference between revisions

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Latest revision as of 07:19, 6 July 2024

scientific article; zbMATH DE number 6144871
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English
A VaR Black–Litterman model for the construction of absolute return fund-of-funds
scientific article; zbMATH DE number 6144871

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    A VaR Black–Litterman model for the construction of absolute return fund-of-funds (English)
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    14 March 2013
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    portfolio optimization
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    probabilistic programming
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    funds-of-funds
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    Black-Litterman
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    absolute return
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    trading constraints
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