IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/44806.html
   My bibliography  Save this paper

Multiperiod Black Litterman Asset Allocation Model

Author

Listed:
  • Malhotra, Karan

Abstract

This paper aims to feed predictive multi-factor regressional models as an input to the Black-Litterman Asset Allocation Model, with predictions and allocations iterated each month

Suggested Citation

  • Malhotra, Karan, 2012. "Multiperiod Black Litterman Asset Allocation Model," MPRA Paper 44806, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:44806
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/44806/1/MPRA_paper_44806.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Black Litterman; Asset Allocation; Statistical Models;
    All these keywords.

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:44806. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.