A generalized Black-Litterman model
Shea D. Chen, Andrew E.B. Lim
| 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 | Statistische Methodenlehre | Statistical theory | Schätztheorie | Estimation theory | Statistische Methode | Statistical method | Financial engineering |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2019.1893 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012213340