A VaR Black–Litterman model for the construction of absolute return fund-of-funds (Q4911225): Difference between revisions
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scientific article; zbMATH DE number 6144871
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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