A VaR black-litterman model for the construction of absolute return fund-of-funds

Quantitative Finance

Volumn 11, Issue 10, 2011, Pages 1489-1501

  Lejeune, Miguel A ^a  

^a GEORGE WASHINGTON UNIVERSITY   (United States)

Author keywords

Absolute return; Black litterman; Funds of funds; Portfolio optimization; Probabilistic programming; Trading constraints

Indexed keywords

EID: 80053231537     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680903121018     Document Type: Article

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