A VaR Black-Litterman model for the construction of absolute return fund-of-funds (Q4911225)
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scientific article; zbMATH DE number 6144871
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| English | A VaR Black-Litterman model for the construction of absolute return fund-of-funds |
scientific article; zbMATH DE number 6144871 |
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A VaR Black–Litterman model for the construction of absolute return fund-of-funds (English)
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14 March 2013
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portfolio optimization
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probabilistic programming
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funds-of-funds
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Black-Litterman
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absolute return
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trading constraints
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0.7514026761054993
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0.7501258254051208
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0.7501258254051208
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0.7468560934066772
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0.7443811893463135
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