A novel integration of the Fama-French and Black-Litterman models to enhance portfolio management
Year of publication: |
2024
|
---|---|
Authors: | Ko, Hyungjin ; Son, Bumho ; Lee, Jaewook |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1873-0612, ZDB-ID 2020265-9. - Vol. 91.2024, Art.-No. 101949, p. 1-24
|
Subject: | Asset allocation | Asset pricing | Black-Litterman portfolio model | Estimation error | Factor model | Fama-French three-factor model | Mean-variance portfolio model | Portfolio management | Theorie | Theory | Portfolio-Management | Portfolio selection | CAPM | Faktorenanalyse | Factor analysis | Modellierung | Scientific modelling |
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