Comparison and robustification of Bayes and Black-Litterman models

DOI10.1007/s00186-010-0302-9zbMath1196.93102OpenAlexW2068549801MaRDI QIDQ992041

Rudi Zagst, Ralf Werner, Katrin Schöttle

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

zbMATH Keywords

portfolio optimizationrobust optimizationBayes modelBlack-Litterman model

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20) Group preferences (91B10)

Related Items (10)

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Cites Work

• Robust Convex Optimization
• Robustness properties of mean-variance portfolios
• Optimization Methods in Finance
• Data Analysis Using Stein's Estimator and its Generalizations
• Robust Portfolio Selection Problems
• Risk and asset allocation.
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