Performance control and risk calibration in the Black-Litterman model

• المؤلفون الرئيسيون: TEE, Chyng Wen, HUANG, Shirley, Kian Guan LIM
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2017
• الموضوعات: Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research_all/5; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1010&context=lkcsb_research_all

The authors show that risk aversion and prior estimation error input parameters of the Black-Litterman model that are arbitrarily fixed in existing practices should instead be carefully calibrated because they are related to the Sharpe performance ratio and Value at Risk or tail risk of the active p...