Using historical return data in the black-litterman model for optimal portfolio decision
In this paper, the Black-Litterman model which is the improved mean-variance optimization model, is discussed. Basically, the views given by the investors were incorporated into this model so that their views on risk and return, and risk tolerance could be quantified. For doing so, the market rates...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
UTHM Publisher
2019
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| Subjects: | |
| Online Access: | http://eprints.uthm.edu.my/5052/1/AJ%202020%20%2868%29.pdf http://eprints.uthm.edu.my/5052/ https://doi.org/10.30880/jst.2019.11.02.003 |
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