Multi-asset portfolio optimization and out-of-sample performance : an evaluation of Black-Litterman, mean-variance, and naïve diversification approaches
Wolfgang Bessler, Heiko Opfer and Dominik Wolff
| Year of publication: |
January-February 2017
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| Authors: | Bessler, Wolfgang ; Opfer, Heiko ; Wolff, Dominik |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 23.2017, 1/3, p. 1-30
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| Subject: | portfolio optimization | Black-Litterman | mean-variance | minimum-variance | Bayes-Stein | naïve diversification | 1/N | Markowitz | Portfolio-Management | Portfolio selection | Diversifikation | Diversification | Theorie | Theory | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2014.953699 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011736211