کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4959755 1445958 2017 42 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The dynamic Black-Litterman approach to asset allocation
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
The dynamic Black-Litterman approach to asset allocation
چکیده انگلیسی
We generalize the Black-Litterman (BL) portfolio management framework to incorporate time-variation in the conditional distribution of returns in the asset allocation process. We evaluate the performance of the dynamic BL model using both standard performance ratios as well as other measures that are designed to capture tail risk in the presence of non-normally distributed asset returns. We find that the dynamic BL model outperforms a range of different benchmarks. Moreover, we show that the choice of volatility model has a considerable impact on the performance of the dynamic BL model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 259, Issue 3, 16 June 2017, Pages 1085-1096
نویسندگان
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