A closed-form solution of the Black-Litterman model with conditional value at risk (Q2417059)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A closed-form solution of the Black-Litterman model with conditional value at risk |
scientific article |
Statements
A closed-form solution of the Black-Litterman model with conditional value at risk (English)
0 references
11 June 2019
0 references
Black-Litterman model
0 references
portfolio optimization
0 references
CVaR
0 references
elliptical distribution
0 references
