Using the Black and Litterman framework for stress test analysis in asset management
Year of publication: |
2010
|
---|---|
Authors: | Giacometti, Rosella ; Mignacca, Domenico |
Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 11.2010/11, 4, p. 286-297
|
Subject: | Kapitalanlage | Financial investment | Portfolio-Management | Portfolio selection | CAPM | Risikomanagement | Risk management | Szenariotechnik | Scenario analysis | Aktienindex | Stock index | USA | United States | 1996-2008 |
-
Schoenfeld, Steven A., (2004)
-
Schmidl, Norman, (2016)
-
Risk management in a pure unit root
Davidsson, Marcus, (2010)
- More ...
-
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin, (2012)
-
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin, (2012)
-
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin, (2012)
- More ...