Multi-asset portfolio optimization and out-of-sample performance: an evaluation of Black–Litterman, mean-variance, and naïve diversification approaches

By Wolfgang Bessler, Heiko Opfer, Dominik Wolff. 2017

109 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/d3b0262fd9f36e0075ad2ffaf10dcfd1b430865a

Citations in the corpus

• Should investors include Bitcoin in their portfolios? A portfolio theory approach (2020, unknown): “Following Bessler et al (2017) and Platanakis et al (2018), amongst other, we set to the equally-weighted portfolio This is the case where investors consider that asset return estimates involve a high degree of estimation risk.”