Performance control and risk calibration in the Black-Litterman model
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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| Online Access: | 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 |
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| Institution: | Singapore Management University |
| Language: | English |