Performance control and risk calibration in the Black-Litterman model

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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書目詳細資料
Main Authors:	TEE, Chyng Wen, HUANG, Shirley, Kian Guan LIM
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2017
主題:	Finance and Financial Management Portfolio and Security Analysis
在線閱讀:	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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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