A VaR Black–Litterman model for the construction of absolute return fund-of-funds

DOI10.1080/14697680903121018zbMath1258.91200MaRDI QIDQ4911225

Miguel A. Lejeune

Publication date: 14 March 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903121018

zbMATH Keywords

portfolio optimization; probabilistic programming; trading constraints; Black-Litterman; absolute return; funds-of-funds

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

90C15: Stochastic programming

91G10: Portfolio theory

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Uses Software

• AMPL
• RiskMetrics

Cites Work

• Convex measures of risk and trading constraints
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• Updating the Inverse of a Matrix
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• Stable distributions in the Black–Litterman approach to asset allocation
• Robust Portfolio Selection Problems
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• Robust portfolio selection using linear-matrix inequalities