Black Litterman and Robust Portfolio Optimization

Capital fund management vk chopra 1991 mean variance

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Unformatted text preview: ms," Operations Research Letters 25(1): 1-13 Mj Best and Rr Grauer (1991), "The Analytics of Sensitivity Analysis for Mean Variance Portfolio Problems," International Review of Financial Studies 4: 315–342 Mj Best and Rr Grauer (1991), "On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results," Review of Financial Studies: 315-342 F Black and R Litterman (1990), "Asset Equilibrium: Combining Investor Views with Market Equilibrium," Journal of Fixed Income Jean-Philippe Bouchard, Marc Potters and Jean-Pierre Aguilar (1997), "Missing Information and Asset Allocation," Science & Finance, Capital Fund Management Vk Chopra (1991), "Mean-Variance Revisited: Near-Optimal Portfolios and Sensitivity to Input Variations," Russell Research Commentary 2: 1-15 Vk Chopra and Wt Ziemba (1993), "The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice," Worldwide asset and liability modeling: 53–61 V Demiguel and Fj Nogales (2006), "Portfolio Selection with Robust Estimates of Risk," Citeseer Laurent El Ghaoui and Herve Lebret (1977), "...
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This document was uploaded on 02/17/2014 for the course COURANT G63.2751.0 at NYU.

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