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Beyond Black-Litterman in Practice: A Five-Step Recipe to Input Views on Non-Normal Markets
3 references·3 citing·24 second hop
Beyond Black-Litterman in Practice: A Five-Step Recipe to Input Views on Non-Normal Markets (2005)Beyond Black-Litterman in Practice: A Fiv…Beyond Black-Litterman: Views on Non-Normal Markets (2005)Beyond Black-Litterman: Views…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Asset Allocation (1991)Asset AllocationCopula-based Black–Litterman portfolio optimization (2021)Copula-based Black–Litterman …AI Robo-Advisor with Big Data Analytics for Financial Services (2018)AI Robo-Advisor with Big Data…Trading strategies with copulas (2013)Trading strategies with copul…PORTFOLIO SELECTION* (1952)Copula Methods in Finance (2004)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)International Portfolio Choice and Corporation Finance: A Synthesis (1983)When Will Mean-Variance Efficient Portfolios be Well Diversified? (1992)Comparing asset pricing models: an investment perspective (2000)The Legacy of Modern Portfolio Theory (2002)Combining Probability Distributions: A Critique and an Annotated Bibliography (1986)Combining Probability Distributions From Experts in Risk Analysis (1999)Extending Black-Litterman Analysis Beyond the Mean-Variance Framework (2007)Stable distributions in the Black–Litterman approach to asset allocation (2007)The Black-Litterman Model Explained (2009)Systems Development in Information Systems Research (1990)Global Portfolio Optimization (1992)Who Are Robo-Advisor Users? (2019)AI/ML applications and the potential transformation of Fintech and Finserv sectors (2020)Determinants of conventional and digital investment advisory decisions: a systematic literature review (2024)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)
this work references cited by second hop

References

  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1991Asset Allocation496 cited
  • 2005Beyond Black-Litterman: Views on Non-Normal Markets64 cited

Cited by

  • 2018AI Robo-Advisor with Big Data Analytics for Financial Services50 cited
  • 2021Copula-based Black–Litterman portfolio optimization43 cited
  • 2013Trading strategies with copulas28 cited

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