Combining equilibrium, resampling, and analyst’s views in portfolio optimization
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- José Luis Barros Fernandes & José Renato Haas Ornelas & Oscar Augusto Martínez Cusicanqui, 2011. "Combining equilibrium, resampling, and analysts' views in portfolio optimization," BIS Papers chapters,in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 75-84 Bank for International Settlements.
References listed on IDEAS
- Fajardo, José & Farias, Aquiles, 2009.
"Multivariate affine generalized hyperbolic distributions: An empirical investigation,"
International Review of Financial Analysis,
Elsevier, vol. 18(4), pages 174-184, September.
- José Fajardo & Aquiles Farias, 2008. "Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation," IBMEC RJ Economics Discussion Papers 2008-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- Jorion, Philippe, 1991. "Bayesian and CAPM estimators of the means: Implications for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 15(3), pages 717-727, June.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Farinelli, Simone & Ferreira, Manuel & Rossello, Damiano & Thoeny, Markus & Tibiletti, Luisa, 2008. "Beyond Sharpe ratio: Optimal asset allocation using different performance ratios," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2057-2063, October.
- Michael Wolf, 2006. "Resampling vs. Shrinkage for Benchmarked Managers," IEW - Working Papers 263, Institute for Empirical Research in Economics - University of Zurich.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Zhang, Zhichao & Chau, Frankie & Xie, Li, 2012. "Strategic Asset Allocation for Central Bank’s Management of Foreign Reserves: A new approach," MPRA Paper 43654, University Library of Munich, Germany.
- Harris, Richard D.F. & Stoja, Evarist & Tan, Linzhi, 2017.
"The dynamic Black–Litterman approach to asset allocation,"
European Journal of Operational Research,
Elsevier, vol. 259(3), pages 1085-1096.
- Harris, Richard D F & Stoja, Evarist & Tan, Linzhi, 2016. "The dynamic Black-Litterman approach to asset allocation," Bank of England working papers 596, Bank of England.
More about this item
KeywordsPortfolio optimization; Estimation risk; Equilibrium;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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