The augmented Black–Litterman model: a ranking-free approach to factor-based portfolio construction and beyond

DOI10.1080/14697688.2012.714902zbMath1280.91146OpenAlexW3122511680MaRDI QIDQ5746764

Wing-Sum Cheung

Publication date: 8 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2012.714902

zbMATH Keywords

mean-variance optimizationcapital asset pricing model (CAPM)portfolio constructionBlack-Litterman modelBayesian allocationfactor style investmentFama-French factor ranking

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Common risk factors in the returns on stocks and bonds

This page was built for publication: The augmented Black–Litterman model: a ranking-free approach to factor-based portfolio construction and beyond