SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Stable distributions in the Black–Litterman approach to asset allocation
16 references·6 citing·38 second hop
Stable distributions in the Black–Litterman approach to asset allocation (2007)Stable distributions in the Black–Litterm…Handbook of the Economics of Finance (2013)Handbook of the Economics of …Risk and Asset Allocation (2005)Risk and Asset AllocationModelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…The Equity Premium (2002)The Equity PremiumStable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskHyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…Global Portfolio Optimization (1992)Global Portfolio OptimizationOn the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results (1991)On the Sensitivity of Mean-Va…Asset Allocation (1991)Asset AllocationThe Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…The equity premium: A puzzle (1985)The equity premium: A puzzleThe Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Portfolio Selection (1952)Portfolio SelectionMethods of Operations Research. (1952)Methods of Operations Researc…Copula-based Black–Litterman portfolio optimization (2021)Copula-based Black–Litterman …The dynamic Black–Litterman approach to asset allocation (2016)The dynamic Black–Litterman a…On the Bayesian interpretation of Black–Litterman (2016)On the Bayesian interpretatio…Diversification with volatility products (2016)Diversification with volatili…Black–Litterman Approach (2010)Black–Litterman ApproachExtending Black-Litterman Analysis Beyond the Mean-Variance Framework (2007)Extending Black-Litterman Ana…Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)An Introduction to Copulas (1999)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Measuring financial contagion: A Copula approach (2007)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Predicting returns with financial ratios (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Dissecting green returns (2022)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)… and the Cross-Section of Expected Returns (2015)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)An Engine, Not a Camera (2006)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1952Portfolio Selection4,609 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 2013Handbook of the Economics of Finance1,813 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 2002The Equity Premium1,331 cited
  • 2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
  • 1991On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results999 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 1952Methods of Operations Research.539 cited
  • 1991Asset Allocation496 cited
  • 2005Risk and Asset Allocation399 cited

Cited by

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2007
Extending Black-Litterman Analysis Beyond the Mean-Variance Framework
60 cited
  • 2010Black–Litterman Approach48 cited
  • 2021Copula-based Black–Litterman portfolio optimization43 cited
  • 2016On the Bayesian interpretation of Black–Litterman41 cited
  • 2016The dynamic Black–Litterman approach to asset allocation40 cited
  • 2016Diversification with volatility products28 cited