On the Bayesian interpretation of Black-Litterman
Year of publication: |
16 April 2017
|
---|---|
Authors: | Kolm, Petter ; Ritter, Gordon |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 258.2017, 2 (16.4.), p. 564-572
|
Subject: | Finance | Investment analysis | Bayesian statistics | Black-Litterman | Portfolio optimization | Theorie | Theory | Portfolio-Management | Portfolio selection | Bayes-Statistik | Bayesian inference | Statistische Methodenlehre | Statistical theory |
-
Gatarek, Lukasz, (2014)
-
Ardia, David, (2016)
-
Black-Litterman and beyond : the Bayesian paradigm in investment management
Kolm, Petter N., (2021)
- More ...
-
A New Copula for Modeling Tail Dependence
Holman, Jeff, (2010)
-
Optimal Microstructure Trading with a Long-Term Utility Function
Benveniste, Elie, (2017)
-
Deep Reinforcement Learning for Option Replication and Hedging
Du, Jiayi, (2020)
- More ...