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Beyond Black-Litterman: Views on Non-Normal Markets · Study

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PreprintBeyond Black-Litterman: Views on Non-Normal Markets

Attilio Meucci2005

OA

Preprintgreen2005

Beyond Black-Litterman: Views on Non-Normal Markets

64 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

2002Conditional value-at-risk for general loss distributions 1986Combining Probability Distributions: A Critique and an Annotated Bibliography 1999Combining Probability Distributions From Experts in Risk Analysis 2005Risk and Asset Allocation 2002The Intuition Behind Black-Litterman Model Portfolios 2000Active portfolio management : a quantitative approach for providing superior returns and controlling risk 2002Beyond Correlation: Extreme Co-Movements between Financial Assets

Cited by

2007Extending Black-Litterman Analysis Beyond the Mean-Variance Framework 2007Stable distributions in the Black–Litterman approach to asset allocation 2005Beyond Black-Litterman in Practice: A Five-Step Recipe to Input Views on Non-Normal Markets 2009The Black-Litterman Model Explained 2013Fast gradient descent method for Mean-CVaR optimization 2013Trading strategies with copulas

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Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations64

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.848407

openalex_workW2158933285

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