Inverse optimization: a new perspective on the Black-Litterman model
DOI10.1287/OPRE.1120.1115zbMATH Open1260.91266DBLPjournals/ior/BertsimasGP12OpenAlexW2014787744WikidataQ34471782 ScholiaQ34471782MaRDI QIDQ4909110FDOQ4909110
Authors: Vishal Gupta, Ioannis Ch. Paschalidis, Dimitris 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
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Statistical methods; risk measures (91G70) Portfolio theory (91G10) Sensitivity, stability, parametric optimization (90C31)
Cited In (26)
- Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
- A derivation of the Black-Litterman formula and its symmetry property
- Inverse conic linear programs in Banach spaces
- The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation
- Inverse Mixed Integer Optimization: Polyhedral Insights and Trust Region Methods
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- Generalized inverse multiobjective optimization with application to cancer therapy
- The dynamic Black-Litterman approach to asset allocation
- Inverse optimization with noisy data
- Maximum likelihood estimation by Monte Carlo simulation: toward data-driven stochastic modeling
- Inferring linear feasible regions using inverse optimization
- On the structure of the inverse-feasible region of a linear program
- Robust inverse optimization
- Quantile inverse optimization: improving stability in inverse linear programming
- Inverse attribute‐based optimization with an application in assortment optimization
- Modeling and assessment of financial investments by portfolio optimization on stock exchange
- Can a corporate network and news sentiment improve portfolio optimization using the Black-Litterman model?
- Optimal method for investing on assets using Black-Litterman model
- On the solution uniqueness in portfolio optimization and risk analysis
- A more human-like portfolio optimization approach
- A generalized Black-Litterman model
- A closed-form solution of the Black-Litterman model with conditional value at risk
- Decomposition and Adaptive Sampling for Data-Driven Inverse Linear Optimization
- A study of Black-Litterman model based on a multi-index information ranking method
- Fuzzy views on Black-Litterman portfolio selection model
- Data-driven inverse optimization with imperfect information
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