Copula-based Black-Litterman portfolio optimization

DOI10.1016/j.ejor.2021.06.015zbMath1490.91193MaRDI QIDQ2060420

Maziar Sahamkhadam, Andreas Stephan, Ralf Oestermark

Publication date: 13 December 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2021.06.015

zbMATH Keywords

portfolio optimization; finance; conditional value-at-risk; Black-Litterman framework; tail constraints; truncated regular vine copula

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62H05: Characterization and structure theory for multivariate probability distributions; copulas

91G10: Portfolio theory