The dynamic Black-Litterman approach to asset allocation (Q1751931)

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scientific article
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English
The dynamic Black-Litterman approach to asset allocation
scientific article

    Statements

    title
    The dynamic Black-Litterman approach to asset allocation (English)
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    author
    Richard D. F. Harris
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    Evarist Stoja
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    Linzhi Tan
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    publication date
    25 May 2018
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    zbMATH Keywords
    finance
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    Black-Litterman model
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    multivariate conditional volatility
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    portfolio optimization
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    tail risk
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91G70
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    62P05
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    zbMATH DE Number
    6873661
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    Wikidata QID
    Q57934080
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    OpenAlex ID
    W2401992370
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