A Black–Litterman asset allocation model under Elliptical distributions (Q4683054): Difference between revisions

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Latest revision as of 14:52, 16 July 2024

scientific article; zbMATH DE number 6939258
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English
A Black–Litterman asset allocation model under Elliptical distributions
scientific article; zbMATH DE number 6939258

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    A Black–Litterman asset allocation model under Elliptical distributions (English)
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    19 September 2018
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    optimal asset allocation
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    Black-Litterman model
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    risk measures
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    elliptical distributions
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