A Generalized Black–Litterman Model

DOI10.1287/opre.2019.1893zbMath1455.91233OpenAlexW2997131022WikidataQ126406002 ScholiaQ126406002MaRDI QIDQ5131465

Shea D. Chen, Andrew E. B. Lim

Publication date: 8 November 2020

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

Full work available at URL: https://doi.org/10.1287/opre.2019.1893

zbMATH Keywords

central limit theoremGibbs samplinggraphical modelsportfolio selectionBayesian methodsBlack-Litterman model

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Portfolio theory (91G10)

Related Items (1)

Multi-period portfolio selection with investor views based on scenario tree

Uses Software

• BayesDA

Cites Work

• Markov chains and stochastic stability
• General state space Markov chains and MCMC algorithms
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Inverse Optimization: A New Perspective on the Black-Litterman Model
• Common risk factors in the returns on stocks and bonds
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