Multiperiod Black Litterman Asset Allocation Model

This paper aims to feed predictive multi-factor regressional models as an input to the Black-Litterman Asset Allocation Model, with predictions and allocations iterated each month

MoreLess

Year of publication:	2012-12
Authors:	Malhotra, Karan
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Black Litterman \| Asset Allocation \| Statistical Models

More details

Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C40 - Econometric and Statistical Methods: Special Topics. General ; C51 - Model Construction and Estimation ; c58
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011107267