A closed-form solution of the Black-Litterman model with conditional value at risk

DOI10.1016/j.orl.2017.11.014OpenAlexW2548325831MaRDI QIDQ2417059

Tao Pang, Cagatay Karan

Publication date: 11 June 2019

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2017.11.014

zbMATH Keywords

portfolio optimizationelliptical distributionCVaRBlack-Litterman model

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items

Copula-based Black-Litterman portfolio optimization ⋮ Multi-period portfolio selection with investor views based on scenario tree

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