Nonlinear portfolio views : an efficient extension to the Black-Litterman approach
Thomas Mazzoni
| Year of publication: |
2015
|
|---|---|
| Authors: | Mazzoni, Thomas |
| Published in: |
Journal of business economics : JBE. - Berlin : Springer-Verlag GmbH Germany, ISSN 0044-2372, ZDB-ID 201074-4. - Vol. 85.2015, 6, p. 693-717
|
| Subject: | Black-Litterman approach | Kalman filter | Monte Carlo simulation | Unscented transform | Monte-Carlo-Simulation | Zustandsraummodell | State space model | Theorie | Theory | Portfolio-Management | Portfolio selection |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011294251