The augmented Black-Litterman model: a ranking-free approach to factor-based portfolio construction and beyond (Q5746764)
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scientific article; zbMATH DE number 6256477
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| English | The augmented Black-Litterman model: a ranking-free approach to factor-based portfolio construction and beyond |
scientific article; zbMATH DE number 6256477 |
Statements
The augmented Black–Litterman model: a ranking-free approach to factor-based portfolio construction and beyond (English)
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8 February 2014
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Bayesian allocation
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portfolio construction
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Black-Litterman model
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capital asset pricing model (CAPM)
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Fama-French factor ranking
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factor style investment
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mean-variance optimization
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0.7462100982666016
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0.7330263257026672
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0.7312522530555725
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0.7204114198684692
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0.7144816517829895
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