Malhotra, Karan (2012): Multiperiod Black Litterman Asset Allocation Model.
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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
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Multiperiod Black Litterman Asset Allocation Model |
| Language: | English |
| Keywords: | Black Litterman; Asset Allocation; Statistical Models |
| Subjects: | C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C40 - General C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics |
| Item ID: | 44806 |
| Depositing User: | karan malhotra |
| Date Deposited: | 08 Mar 2013 02:28 |
| Last Modified: | 28 Sep 2019 19:31 |
| References: | 'Statistical Methods in Finance', Professor Tze Lai, Stanford University |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/44806 |
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