The Black-Litterman method is widely used in the investment management industry to incorporate views in investment portfolios. The method applies when views are expressed as expected returns over the horizon on which allocation decisions are made, i.e., the investment horizon. In practice,...

In this paper, we introduce a methodology that allows for imposing views on density forecasts of a (frequency domain) factor based time series model. Such a model produces a density forecast for the future evolution of economic and financial variables such as interest rates, asset returns and...

Many investors use optimization to determine their optimal investment portfolio. Unfortunately, optimal portfolios are sensitive to changing input parameters, i.e., they are not robust. Traditional robust optimization approaches aim for an optimal and robust portfolio which, ideally, is the...

In practical applications, and especially in high dimensional models, it is common that not all covariances are known due to, for example, data limitations. In such situations, the covariance matrix must be completed in order to use the statisti-cal or stochastic model at hand. The already...