Asset allocation - Geometric mean variance - The author argues that a constrained mean variance framework is superior to Black-Litterman asset allocation, and can help an investor determine the mean excess return vector given their market views.
| Year of publication: |
2008
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|---|---|
| Authors: | Doust, Paul |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 21.2008, 2, p. 89-95
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