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Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches
Wolff, Dominik; Bessler, Wolfgang; Opfer, Heiko - 2012
The Black-Litterman (BL) model aims to enhance asset allocation decisions by overcoming the weaknesses of standard mean-variance (MV) portfolio optimization. In this study we implement the BL model in a multi-asset portfolio context. Using an investment universe of global stock indices, bonds,...
Persistent link: https://www.econbiz.de/10010310087
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Empirische Untersuchungen zur Bedeutung makroökonomischer Faktoren für Aktienrenditen am deutschen Kapitalmarkt
Bessler, Wolfgang; Opfer, Heiko - In: Financial markets and portfolio management 17 (2003) 4, pp. 412-436
Persistent link: https://www.econbiz.de/10001998934
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Multi-asset portfolio optimization and out-of-sample performance : an evaluation of Black-Littermann, mean variance and nai͏̈ve diversification approaches
Bessler, Wolfgang; Opfer, Heiko; Wolff, Dominik - 2012 - Current Version: March 1, 2012
The Black-Litterman (BL) model aims to enhance asset allocation decisions by overcoming the weaknesses of standard mean-variance (MV) portfolio optimization. In this study we implement the BL model in a multi-asset portfolio context. Using an investment universe of global stock indices, bonds,...
Persistent link: https://www.econbiz.de/10009671099
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Aktienrenditen und makroökonomische Risikoprämien: Eine empirische Untersuchung für den deutschen Kapitalmarkt
Bessler, Wolfgang; Opfer, Heiko - In: Zeitschrift für Bankrecht und Bankwirtschaft 17 (2005) 2, pp. 73-82
Persistent link: https://www.econbiz.de/10014625647
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[Rezension von: Homölle, Susanne, Eigenkapitalregulierung und Risikoübernahme von Kreditinstituten]
Bessler, Wolfgang; Opfer, Heiko - In: Kredit und Kapital 34 (2001) 3, pp. 455-458
Persistent link: https://www.econbiz.de/10001623784
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Bank stock returns and economic variables: an empirical analysis for Germany
Bessler, Wolfgang; Opfer, Heiko - In: Aktuelle Entwicklungen im Finanzdienstleistungsbereich …, (pp. 205-219). 2004
Persistent link: https://www.econbiz.de/10002033824
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Ein bedingtes Mehrfaktorenmodell zur Quantifizierung der Renditen von Bankaktien auf dem deutschen Kapitalmarkt
Bessler, Wolfgang; Opfer, Heiko - In: Operations research proceedings 2001 : selected papers …, (pp. 159-166). 2002
Persistent link: https://www.econbiz.de/10001677504
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[Rezension von: Weber, Max, Die bankenaufsichtliche Erfassung der liquiditätsmäßig-finanziellen Risiken unbedingter Finanztermingeschäfte]
Bessler, Wolfgang; Opfer, Heiko - In: Kredit und Kapital 34 (2001) 4, pp. 627-630
Persistent link: https://www.econbiz.de/10001654514
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Multi-Asset Portfolio Optimization and Out-of-Sample Performance : An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches
Bessler, Wolfgang - 2014
The Black-Litterman model aims to enhance asset allocation decisions by overcoming the problems of mean-variance portfolio optimization. We propose a sample based version of the Black-Litterman model and implement it on a multi-asset portfolio consisting of global stocks, bonds, and commodity...
Persistent link: https://www.econbiz.de/10013065986