Comparison and robustification of Bayes and Black-Litterman models (Q992041)
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scientific article; zbMATH DE number 5781211
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| English | Comparison and robustification of Bayes and Black-Litterman models |
scientific article; zbMATH DE number 5781211 |
Statements
Comparison and robustification of Bayes and Black-Litterman models (English)
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8 September 2010
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portfolio optimization
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robust optimization
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Bayes model
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Black-Litterman model
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0.8858386
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0.8759578
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0.8741216
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0.86743677
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0.8624704
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0.8614555
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0.86144924
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