Open AccessPerformance Control and Risk Calibration in the Black–Litterman Model
Author(s) -
Chyng Wen Tee,
Shirley Huang,
Kian Guan Lim
Publication year - 2017
Publication title -
the journal of portfolio management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.914
H-Index - 50
eISSN - 2168-8656
pISSN - 0095-4918
DOI - 10.3905/jpm.2017.43.3.126
Subject(s) - sharpe ratio , portfolio , black–litterman model , econometrics , active management , control (management) , risk aversion (psychology) , economics , calibration , actuarial science , value (mathematics) , computer science , project portfolio management , portfolio optimization , expected utility hypothesis , statistics , financial economics , mathematics , replicating portfolio , artificial intelligence , machine learning , management , project management
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