A closed-form solution of the Black-Litterman model with conditional value at risk (Q2417059)
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scientific article; zbMATH DE number 7064430
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| English | A closed-form solution of the Black-Litterman model with conditional value at risk |
scientific article; zbMATH DE number 7064430 |
Statements
A closed-form solution of the Black-Litterman model with conditional value at risk (English)
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11 June 2019
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Black-Litterman model
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portfolio optimization
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CVaR
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elliptical distribution
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0.8454207
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0.84398997
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0.8437735
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0.8425969
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0.84259677
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0.8361324
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0.8352782
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