The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation

DOI10.1007/s10287-020-00373-6OpenAlexW3121520838MaRDI QIDQ2221479

Erindi Allaj

Publication date: 2 February 2021

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-020-00373-6

zbMATH Keywords

out-of-sample performanceBlack-Litterman modelasset allocation strategiesinvestor's views

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

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