The dynamic Black-Litterman approach to asset allocation
Richard D.F. Harris, Evarist Stoja, Linzhi Tan
| Year of publication: |
16 June 2017
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|---|---|
| Authors: | Harris, Richard D. F. ; Stoja, Evarist ; Tan, Linzhi |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 259.2017, 3 (16.6.), p. 1085-1096
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| Subject: | Finance | Black-Litterman model | Multivariate conditional volatility | Portfolio optimization | Tall risk | Portfolio-Management | Portfolio selection | Volatilität | Volatility | CAPM | ARCH-Modell | ARCH model | Kapitalanlage | Financial investment | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.11.045 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011695536