A generalized Black-Litterman model
Year of publication: |
2020
|
---|---|
Authors: | Chen, Shea D. ; Lim, Andrew E. B. |
Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 68.2020, 2, p. 381-410
|
Subject: | statistics: Bayesian, estimation | finance: investment, portfolio | simulation: statistical analysis | Financial Engineering | Black-Litterman model | portfolio selection | graphical models | Bayesian methods | Gibbs sampling | central limit theorem | Portfolio-Management | Portfolio selection | Bayes-Statistik | Bayesian inference | Simulation | Schätztheorie | Estimation theory | Statistische Methodenlehre | Statistical theory | Statistische Methode | Statistical method | CAPM |
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