The Black-Litterman model : the definition of views based on volatility forecasts
Andi Duqi, Leonardo Franci and Giuseppe Torluccio
| Year of publication: |
2014
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|---|---|
| Authors: | Duqi, Andi ; Franci, Leonardo ; Torluccio, Giuseppe |
| Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 24.2014, 19/21, p. 1285-1296
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| Subject: | tactical asset allocation | EGARCH | Black-Litterman model | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | CAPM | Kapitalanlage | Financial investment | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010460181