Stable distributions in the Black–Litterman approach to asset allocation

By Rosella Giacometti, M. Bertocchi, Svetlozar T. Rachev, Frank J Fabozzi 3. 2007

58 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/ffc3dcb659c6496a1304e376c8dd4646bb570fe2

Citations in the corpus

• The Black-Litterman Approach: Original Model and Extensions (2008, unknown): “BL adds uncertainty on the views by means of Bayesian formulas, although this is not the standard Bayesian framework of decision theory, see Bawa, Brown, and Klein (1979) and Goel and Zellner (1986). In particular, in BL there is no historical updating of the estimate of μ, which does not depend on ”