Showing 1 - 10 of 75
Persistent link: https://www.econbiz.de/10009383340
Persistent link: https://www.econbiz.de/10009232183
We present a robust Black-Litterman (BL) model that takes into account the possibility of model misspecification. In place of a single prior distribution, we utilize multiple priors around the estimated expected excess returns and covariance matrix. The model has two primary advantages over the...
Persistent link: https://www.econbiz.de/10009277324
Persistent link: https://www.econbiz.de/10009625383
Persistent link: https://www.econbiz.de/10009412690
Persistent link: https://www.econbiz.de/10010482021
Persistent link: https://www.econbiz.de/10009383431
Persistent link: https://www.econbiz.de/10009232146
Persistent link: https://www.econbiz.de/10008935694
Persistent link: https://www.econbiz.de/10012613460