Stable distributions in the Black-Litterman approach to asset allocation
Year of publication: |
2009
|
---|---|
Authors: | Giacometti, Rosella ; Bertocchi, Marida ; Račev, Svetlozar T. ; Fabozzi, Frank J. |
Published in: |
Quantitative fund management. - Boca Raton, Fla. [u.a.] : CRC Press, ISBN 978-1-4200-8191-6. - 2009, p. 359-375
|
Subject: | Kapitalanlage | Financial investment | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | CAPM |
-
Beyond equilibrium, the Black-Litterman approach
Litterman, Bob, (2003)
-
Beyond Black-Litterman : letting the data speak
Zhou, Guofu, (2009)
-
Black-Litterman portfolio optimisation : an application the German and Swiss stock market
Kaiser, Lars, (2011)
- More ...
-
A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates
Giacometti, Rosella, (2012)
-
A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates
Giacometti, Rosella, (2012)
-
Stable distributions in the Black-Litterman approach to asset allocation
Giacometti, Rosella, (2007)
- More ...