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Black-Litterman model for continuous distributions
Palczewski, Andrzej; Palczewski, Jan - In: European journal of operational research : EJOR 273 (2019) 2, pp. 708-720
Persistent link: https://www.econbiz.de/10011987580
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Horses for courses : mean-variance for asset allocation and 1/N for stock selection
Platanakis, Emmanouil; Sutcliffe, Charles M. S.; Ye, Xiaoxia - In: European journal of operational research : EJOR 288 (2021) 1, pp. 302-317
Persistent link: https://www.econbiz.de/10012496562
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Accuracy of mortgage portfolio risk forecasts during financial crises
Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: European journal of operational research : EJOR 249 (2016) 2, pp. 440-456
Persistent link: https://www.econbiz.de/10011436707
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Bayesian estimation of the global minimum variance portfolio
Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: European journal of operational research : EJOR 256 (2017) 1, pp. 292-307
Persistent link: https://www.econbiz.de/10011611271
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On the Bayesian interpretation of Black-Litterman
Kolm, Petter; Ritter, Gordon - In: European journal of operational research : EJOR 258 (2017) 2, pp. 564-572
Persistent link: https://www.econbiz.de/10011644155
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A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358
Persistent link: https://www.econbiz.de/10010224698
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Optimal strategies for selecting project portfolios using uncertain value estimates
Vilkkumaa, Eeva; Liesiö, Juuso; Salo, Ahti A. - In: European journal of operational research : EJOR 233 (2014) 3, pp. 772-783
Persistent link: https://www.econbiz.de/10010228189
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Bayesian Value-at-Risk backtesting : the case of annuity pricing
Leung, Melvern; Li, Youwei; Pantelous, Athanasios A.; … - In: European journal of operational research : EJOR 293 (2021) 2, pp. 786-801
Persistent link: https://www.econbiz.de/10012513273
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Optimal investment in ambiguous financial markets with learning
Bäuerle, Nicole; Mahayni, Antje - In: European journal of operational research : EJOR 315 (2024) 1, pp. 393-410
Persistent link: https://www.econbiz.de/10014562844
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Investment strategies, reversibility, and asymmetric information
Cui, Xue; Shibata, Takashi - In: European journal of operational research : EJOR 263 (2017) 3, pp. 1109-1122
Persistent link: https://www.econbiz.de/10011794537