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ArticleBlack–Litterman model for continuous distributions

Andrzej Palczewski2018

Article2018

Black–Litterman model for continuous distributions

Andrzej Palczewski · Jan Palczewski

27 citations·0/0 files stored·European Journal of Operational Research

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

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References

1965The Behavior of Stock-Market Prices 2000Optimization of conditional value-at-risk 1963The Variation of Certain Speculative Prices 2003Monte Carlo Methods in Financial Engineering 2002Conditional value-at-risk for general loss distributions 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?2013Value and Momentum Everywhere 1992Global Portfolio Optimization

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Year2018

Typearticle

Published2018-08-18

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations27

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.ejor.2018.08.013

openalex_workW3124271141

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