Black Litterman and Robust Portfolio Optimization

Capital fund management vk chopra 1991 mean variance

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

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), "...
View Full Document

Ask a homework question - tutors are online