The dynamic Black-Litterman approach to asset allocation

DOI10.1016/j.ejor.2016.11.045zbMath1402.91701DBLPjournals/eor/HarrisST17OpenAlexW2401992370WikidataQ57934080 ScholiaQ57934080MaRDI QIDQ1751931

Evarist Stoja, Richard D. F. Harris, Linzhi Tan

Publication date: 25 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.11.045

zbMATH Keywords

portfolio optimizationfinancemultivariate conditional volatilitytail riskBlack-Litterman model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (6)

Black-Litterman model for continuous distributions ⋮ Modeling and Assessment of Financial Investments by Portfolio Optimization on Stock Exchange ⋮ The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation ⋮ Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection ⋮ Copula-based Black-Litterman portfolio optimization ⋮ Multi-period portfolio selection with investor views based on scenario tree

Uses Software

• RiskMetrics

Cites Work

• Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function
• Robust optimization using computer experiments
• Portfolio selection under distributional uncertainty: a relative robust CVaR approach
• Portfolio value-at-risk optimization for asymmetrically distributed asset returns
• Robust asset allocation
• Sharpe thinking in asset ranking with one-sided measures
• 60 years of portfolio optimization: practical challenges and current trends
• Coherent Measures of Risk
• Portfolio selection with higher moments
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Inverse Optimization: A New Perspective on the Black-Litterman Model
• Stable distributions in the Black–Litterman approach to asset allocation
• Risk and asset allocation.

This page was built for publication: The dynamic Black-Litterman approach to asset allocation