A Black–Litterman approach to correlation stress testing (Q5245918)
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scientific article; zbMATH DE number 6426108
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Black–Litterman approach to correlation stress testing |
scientific article; zbMATH DE number 6426108 |
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A Black–Litterman approach to correlation stress testing (English)
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16 April 2015
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correlation stress testing
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scenario test
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Black-Litterman
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Mahalanobis distance
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