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Uncertainty in the Black-Litterman model : empirical estimation of the equilibrium
Fuhrer, Adrian; Hock, Thorsten - In: Journal of empirical finance 72 (2023), pp. 251-275
Persistent link: https://www.econbiz.de/10014476878
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Portfolio selection and asset pricing models
Pástor, Ľuboš - In: The journal of finance : the journal of the American … 55 (2000) 1, pp. 179-223
Persistent link: https://www.econbiz.de/10001496990
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The Black-Litterman model explained
Cheung, Wing - In: The journal of asset management 11 (2010/11) 4, pp. 229-243
Persistent link: https://www.econbiz.de/10008728711
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Probabilistic methods for financial and marketing informatics
Neapolitan, Richard E.; Jiang, Xia - 2007
Persistent link: https://www.econbiz.de/10003399176
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Learning and portfolio decisions for CRRA investors
Longo, Michele; Mainini, Alessandra - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011523763
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Uncertainty in the Black-Litterman model : a practical note
Fuhrer, Adrian; Hock, Thorsten - 2019 - Version: July 15, 2019
Modifikation des Black-Litterman-Ansatzes vor, die eine flexible Modellierung der Parameterunsicherheit erlaubt. Dies gilt sowohl …
Persistent link: https://www.econbiz.de/10012042184
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Factor investing : a Bayesian hierarchical approach
Feng, Guanhao; He, Jingyu - In: Journal of econometrics 230 (2022) 1, pp. 183-200
Persistent link: https://www.econbiz.de/10013441934
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A new strategy for short-term stock investment using Bayesian approach
Tai Vo-Van; Ha Che-Ngoc; Nghiep Le-Dai; Thao Nguyen-Trang - In: Computational economics 59 (2022) 2, pp. 887-911
Persistent link: https://www.econbiz.de/10013169109
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Evaluating the specification errors of asset pricing models
Hodrick, Robert J.; Zhang, Xiaoyan - In: Journal of financial economics 62 (2001) 2, pp. 327-376
Persistent link: https://www.econbiz.de/10001621745
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Evaluating the Specification Errors of Asset Pricing Models
Hodrick, Robert J.; Zhang, Xiaoyan - 2021
This paper examines the specification errors of several asset pricing models using the methodology of Hansen and Jagannathan (1997) and a common data set. The models are the CAPM, the Consumption CAPM, the Jagannathan and Wang (1996) conditional CAPM, the Campbell (1996) dynamic asset pricing...
Persistent link: https://www.econbiz.de/10013244733