A closed-form solution of the Black-Litterman model with conditional value at risk

Tao Pang, Cagatay Karan

Year of publication:	Janauary 2018
Authors:	Pang, Tao ; Karan, Cagatay
Published in:	Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 46.2018, 1, p. 103-108
Subject:	Black-Litterman model \| Portfolio optimization \| CVaR \| Elliptical distribution \| Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Theorie \| Theory \| Statistische Verteilung \| Statistical distribution \| CAPM

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