An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Becker, Franziska & Gürtler, Marc, 2008. "Quantitative forecast model for the application of the Black-Litterman approach," Working Papers IF27V2, Technische Universität Braunschweig, Institute of Finance.
- Harris, Richard D.F. & Stoja, Evarist & Tan, Linzhi, 2017.
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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.
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- Erindi Allaj, 2013. "The Black–Litterman model: a consistent estimation of the parameter tau," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(2), pages 217-251, June.
More about this item
KeywordsBlack–Litterman; GARCH; Global portfolio management; G11; G15;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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