Comparison and robustification of Bayes and Black-Litterman models
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Publication:992041
DOI10.1007/S00186-010-0302-9zbMATH Open1196.93102OpenAlexW2068549801MaRDI QIDQ992041FDOQ992041
Authors: Katrin Schöttle, Ralf Werner, R. Zagst 
Publication date: 8 September 2010
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-010-0302-9
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Cites Work
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- Robustness properties of mean-variance portfolios
Cited In (15)
- Asymptotic filter behavior for high-frequency expert opinions in a market with Gaussian drift
- The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation
- A Black-Litterman asset allocation model under elliptical distributions
- Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy
- Perturbation analysis for investment portfolios under partial information with expert opinions
- Robust hedging strategies
- Portfolio optimization under partial information with expert opinions
- On the Bayesian interpretation of Black-Litterman
- Robust conditional expectation reward-risk performance measures
- Schwarz type model comparison for LAQ models
- Power utility maximization with expert opinions at fixed arrival times in a market with hidden Gaussian drift
- Asymptotic multivariate dominance: a financial application
- A generalized Black-Litterman model
- Robust multiobjective optimization \& applications in portfolio optimization
- Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift
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