Multivariate GARCH models and the Black-Litterman approach for tracking error constrained portfolios: an empirical analysis
Year of publication: |
2008
|
---|---|
Authors: | Palomba, Giulio |
Published in: |
Global Business and Economics Review. - Inderscience Enterprises Ltd. - Vol. 10.2008, 4, p. 379-413
|
Publisher: |
Inderscience Enterprises Ltd |
Subject: | asset returns | tactical asset allocation | TAA | multivariate GARCH models | tracking error constraints | error-constrained portfolios | Black and Litterman approach |
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