Explicit coupling of informative prior and likelihood functions in a Bayesian multivariate framework and application to a new non-orthogonal formulation of the Black–Litterman model
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DOI: 10.1057/jam.2011.19
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- Raul Leote de Carvalho & Xiao Lu & Pierre Moulin, 2014. "An integrated risk-budgeting approach for multi-strategy equity portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 15(1), pages 24-47, February.
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Keywords
Bayesian inference; information filtering; forecast; Black–Litterman model; backtesting; portfolio optimisation;All these keywords.
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