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"Copula-based Black-Litterman portfolio optimization."

Maziar Sahamkhadam, Andreas Stephan, Ralf Östermark (2022)

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DOI: 10.1016/J.EJOR.2021.06.015

access: open

type: Journal Article

metadata version: 2022-07-27

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  dblp key:
  - journals/eor/SahamkhadamSO22
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  persistent URL:
  - https://dblp.org/rec/journals/eor/SahamkhadamSO22
Maziar Sahamkhadam, Andreas Stephan, Ralf Östermark:
Copula-based Black-Litterman portfolio optimization. Eur. J. Oper. Res. 297(3): 1055-1070 (2022)

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