Comparison and robustification of Bayes and Black-Litterman models
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Cites work
- scientific article; zbMATH DE number 3662819 (Why is no real title available?)
- scientific article; zbMATH DE number 45785 (Why is no real title available?)
- scientific article; zbMATH DE number 3434940 (Why is no real title available?)
- scientific article; zbMATH DE number 1489803 (Why is no real title available?)
- Data Analysis Using Stein's Estimator and its Generalizations
- Optimization Methods in Finance
- Risk and asset allocation.
- Robust Portfolio Selection Problems
- Robust convex optimization
- Robustness properties of mean-variance portfolios
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- Asymptotic multivariate dominance: a financial application
- Power utility maximization with expert opinions at fixed arrival times in a market with hidden Gaussian drift
- Schwarz type model comparison for LAQ models
- Asymptotic filter behavior for high-frequency expert opinions in a market with Gaussian drift
- A Black-Litterman asset allocation model under elliptical distributions
- The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation
- A generalized Black-Litterman model
- Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift
- Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy
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- Robust multiobjective optimization \& applications in portfolio optimization
- On the Bayesian interpretation of Black-Litterman
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