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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
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    File URL: https://mpra.ub.uni-muenchen.de/44806/1/MPRA_paper_44806.pdf
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    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

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