The Black–Litterman model: a consistent estimation of the parameter tau
Year of publication: |
2013
|
---|---|
Authors: | Allaj, Erindi |
Published in: |
Financial Markets and Portfolio Management. - Springer, ISSN 1555-4961. - Vol. 27.2013, 2, p. 217-251
|
Publisher: |
Springer |
Subject: | Black–Litterman model | Market efficiency | Bayesian statistics | GLS estimation | Two-stage CAPM estimation | Mean–variance optimization |
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