Inverse Optimization: A New Perspective on the Black-Litterman Model
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Publication:4909110
DOI10.1287/opre.1120.1115zbMath1260.91266OpenAlexW2014787744WikidataQ34471782 ScholiaQ34471782MaRDI QIDQ4909110
Ioannis Ch. Paschalidis, Vishal Gupta, Dimitris J. Bertsimas
Publication date: 12 March 2013
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.1120.1115
Statistical methods; risk measures (91G70) Sensitivity, stability, parametric optimization (90C31) Portfolio theory (91G10)
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