Time-Dependent Black–Litterman
Year of publication: |
September 2017
|
---|---|
Authors: | Van der Schans, Martin ; Steehouwer, Hens |
Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 18.2017, 5, p. 371-387
|
Subject: | Black–Litterman | Kalman filter | Asset allocation | Views | Theorie | Theory | Portfolio-Management | Portfolio selection | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis |
-
Style analysis with particle filtering and generalized simulated annealing
Fukui, Takaya, (2017)
-
A Kalman filter control technique in mean-variance portfolio management
DiLellio, James A., (2015)
-
Mergner, Sascha, (2009)
- More ...
-
Imposing Views on Frequency Domain Factor Models
van der Schans, Martin, (2016)
-
Time-Dependent Black-Litterman
van der Schans, Martin, (2020)
-
Market consistent ALM for life insurers : steps toward Solvency II
Bragt, David van, (2010)
- More ...