Uncertainty in the Black-Litterman model : empirical estimation of the equilibrium
Year of publication: |
2023
|
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Authors: | Fuhrer, Adrian ; Hock, Thorsten |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 72.2023, p. 251-275
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Subject: | Asset allocation | Bayesian | Black-Litterman model | Error components models | Model uncertainty | Portfolio choice | Portfolio-Management | Portfolio selection | Bayes-Statistik | Bayesian inference | Risiko | Risk | CAPM | Schätztheorie | Estimation theory | Modellierung | Scientific modelling |
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