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Beyond Black-Litterman: Views on Non-Normal Markets

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2007Extending Black-Litterman Analysis Beyond the Mean-Variance Framework60 cited
2007Stable distributions in the Black–Litterman approach to asset allocation60 cited
2005Beyond Black-Litterman in Practice: A Five-Step Recipe to Input Views on Non-Normal Markets59 cited
2009The Black-Litterman Model Explained43 cited
2013Fast gradient descent method for Mean-CVaR optimization38 cited
2010A Black-Litterman Asset Allocation Model Under Elliptical Distributions29 cited
2013Trading strategies with copulas28 cited
2013The Black–Litterman model: a consistent estimation of the parameter tau

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24 cited

2019Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition19 cited