A derivation of the Black-Litterman formula and its symmetry property (Q6047404)
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scientific article; zbMATH DE number 7736590
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A derivation of the Black-Litterman formula and its symmetry property |
scientific article; zbMATH DE number 7736590 |
Statements
A derivation of the Black-Litterman formula and its symmetry property (English)
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12 September 2023
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Black-Litterman
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symmetry property
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Theil's mixed estimator
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expected returns
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asset allocation
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0.7191867232322693
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0.7045606970787048
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0.7045177221298218
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0.6944117546081543
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0.6898244023323059
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