A novel integration of the Fama-French and Black-Litterman models to enhance portfolio management
Hyungjin Ko, Bumho Son, Jaewook Lee
| Year of publication: |
2024
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|---|---|
| Authors: | Ko, Hyungjin ; Son, Bumho ; Lee, Jaewook |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1873-0612, ZDB-ID 2020265-9. - Vol. 91.2024, Art.-No. 101949, p. 1-24
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| Subject: | Asset allocation | Asset pricing | Black-Litterman portfolio model | Estimation error | Factor model | Fama-French three-factor model | Mean-variance portfolio model | Portfolio management | Portfolio-Management | Portfolio selection | CAPM | Theorie | Theory | Kapitalanlage | Financial investment | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2024.101949 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014494846