Dynamic Black-Litterman

DOI10.1287/OPRE.2024.1010MaRDI QIDQ6856976zbMATH OpenFDO

Authors Anas Abdelhakmi, Andrew Lim

Publication date 18 February 2026

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/OPRE.2024.1010

zbMATH Keywords

Black-Litterman modelforward-looking viewshedging strategiesmultidimensional Brownian bridgeoptimal controlportfolio allocationstochastic programming

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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