A Black–Litterman asset allocation model under Elliptical distributions

DOI10.1080/14697688.2013.836283zbMath1398.62330OpenAlexW3125503432MaRDI QIDQ4683054

Yugu Xiao, Emiliano A. Valdez

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.836283

zbMATH Keywords

elliptical distributionsrisk measuresoptimal asset allocationBlack-Litterman model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Portfolio theory (91G10)

Related Items (11)

Black-Litterman model for continuous distributions ⋮ Stein's lemma for truncated elliptical random vectors ⋮ Capital asset pricing model under distribution uncertainty ⋮ A new class of symmetric distributions including the elliptically symmetric logistic ⋮ A closed-form solution of the Black-Litterman model with conditional value at risk ⋮ A derivation of the Black-Litterman formula and its symmetry property ⋮ Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors ⋮ The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation ⋮ Data-driven robust mean-CVaR portfolio selection under distribution ambiguity ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Multivariate tail conditional expectation for elliptical distributions

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