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Black-Litterman and Beyond : The Bayesian Paradigm in Investment Management
Kolm, Petter N.; Ritter, Gordon; Simonian, Joseph - 2021
practical achievements. From the standpoint of investment theory, the Black-Litterman model allows a seamless incorporation of …
Persistent link: https://www.econbiz.de/10013246950
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Optimal Distributional Trading Gain : Generalizations of Merton's Portfolio Problem with Implications to Bayesian Statistics
Vecer, Jan - 2020
This paper considers multiple market agents who have distinct distributional opinions about the state price density. We first determine the optimal trading positions of a utility maximizing market taker who trades Arrow-Debreu securities for prices set by the market maker. We use calculus of...
Persistent link: https://www.econbiz.de/10012832303
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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Allocation to industry portfolios under Markov switching returns
Tudor, Deniz Kebabci - In: Studies in economics and finance 30 (2013) 4, pp. 317-346
Persistent link: https://www.econbiz.de/10010207358
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Black Litterman Ansatz : Portfolio-Optimierung mit dem Satz von Bayes
Knaus, Katharina - 2012 - 1. Aufl
Persistent link: https://www.econbiz.de/10010210358
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Using model selection algorthims to obtain reliable coefficient estimates
Castle, Jennifer; Qin, Xiaochuan; Reid, W. Robert - 2011
Persistent link: https://www.econbiz.de/10009012239
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Bayesian synthesis of portfolio credit risk with missing ratings
Parnes, Dror - In: Journal of risk 18 (2015/2016) 1, pp. 45-69
Persistent link: https://www.econbiz.de/10013262945
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Efficient computation of mean reverting portfolios using cyclical coordinate descent
Griveau-Billion, T.; Calderhead, Ben - In: Quantitative finance 21 (2021) 4, pp. 673-684
Persistent link: https://www.econbiz.de/10012483845
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Black-Litterman and beyond : the Bayesian paradigm in investment management
Kolm, Petter N.; Ritter, Gordon; Simonian, Joseph - In: The journal of portfolio management : JPM 47 (2021) 5, pp. 91-113
Persistent link: https://www.econbiz.de/10012503370
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Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
Longo, M.; Mainini, A. - In: Quantitative finance 18 (2018) 12, pp. 2035-2050
Persistent link: https://www.econbiz.de/10012262961