Incorporating Trading Strategies in the Black-Litterman Framework

被引：28

作者：

Fabozzi, Frank J. ^{[1
]}

Focardi, Sergio M. ^{[2
]}

Kolm, Petter N. ^{[3
]}

机构：

[1] Yale Sch Management, Finance, New Haven, CT 06511 USA

[2] Intertek Grp, Paris, France

[3] Yale Sch Management, New Haven, CT USA

来源：

JOURNAL OF TRADING | 2006年 / 1卷 / 02期

关键词：

D O I：

10.3905/jot.2006.628192

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：28 / 37

页数：10

共 18 条

[1]

Best M. J., 1992, INT REV FINANC ANAL, V1, P17

[2]

Bevan A., 1998, FIXED INCOME RES

[3]

Black, 1990, GOLDMAN SACHS FIXED, V115

[4] THE EFFECT OF ERRORS IN MEANS, VARIANCES, AND COVARIANCES ON OPTIMAL PORTFOLIO CHOICE [J].

CHOPRA, VK ;

ZIEMBA, WT .

JOURNAL OF PORTFOLIO MANAGEMENT, 1993, 19 (02) :6-11

[5]

Fabozzi F.J., 2006, FINANCIAL MODELING E

[6] Robust portfolio selection problems [J].

Goldfarb, D ;

Iyengar, G .

MATHEMATICS OF OPERATIONS RESEARCH, 2003, 28 (01) :1-38

[7] WHEN WILL MEAN-VARIANCE EFFICIENT PORTFOLIOS BE WELL DIVERSIFIED [J].

GREEN, RC ;

HOLLIFIELD, B .

JOURNAL OF FINANCE, 1992, 47 (05) :1785-1809

[8] RETURNS TO BUYING WINNERS AND SELLING LOSERS - IMPLICATIONS FOR STOCK-MARKET EFFICIENCY [J].

JEGADEESH, N ;

TITMAN, S .

JOURNAL OF FINANCE, 1993, 48 (01) :65-91

[9]

Jobson J. D., 1981, J PORTFOLIO MANAGE, V7, P70

[10]

Jobson J. D., 1991, REV FINANC STUD, V4, P315

← 1 2 →