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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Schöttle, K.; Werner, R.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
Comparison and Robustification of Bayes and Black-Litterman Models 
Abstract:
For determining an optimal portfolio allocation, parameters representing the underlying market – characterized by expected asset returns and the covariance matrix – are needed. Traditionally, these point estimates for the parameters are obtained from historical data samples, but as experts often have strong opinions about (some of) these values, approaches to combine sample information and experts’ views are sought for. The focus of this paper is on the two most popular of these frameworks – the...    »
 
Intellectual Contribution:
Contribution to Practice 
Zeitschriftentitel:
Mathematical Methods of Operations Research 
Jahr:
2010 
Band / Volume:
71 
Heft / Issue:
Seitenangaben Beitrag:
453-475 
Reviewed:
ja 
Sprache:
en 
Status:
Erstveröffentlichung 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein