Nonlinear portfolio views: an efficient extension to the Black-Litterman approach-Reference-Cited by-同舟云学术

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Nonlinear portfolio views: an efficient extension to the Black-Litterman approach

Published:2015-03-31 Issue:6 Volume:85 Page:693-717
ISSN:0044-2372
Container-title:Journal of Business Economics
language:en
Short-container-title:J Bus Econ

Author:

Mazzoni Thomas

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Business and International Management

Link

http://link.springer.com/content/pdf/10.1007/s11573-015-0767-3.pdf

Reference47 articles.

1. Almgren R, Chriss N (2006) Optimal portfolios from ordering information. J Risk 9(1):1–47

2. Andrieu C, Doucet A (2002) Particle filtering for partially observed Gaussian state space models. J Royal Stat Soc Series B 64(4):827–836

3. Beneš AR (1981) Exact finite-dimensional for certain diffusions with nonlinear drift. Stochastics 5(1/2):65–92

4. Beneš AR (1985) New exact nonlinear filters with large Lie algebras. Syst Control Lett 5:217–221

5. Berzuini C, Best NG, Gilks W, Larizza C (1997) Dynamic conditional independent models and Markov chain Monte Carlo methods. J Am Stat Assoc 92:1403–1412

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Time-Dependent Black–Litterman;Journal of Asset Management;2017-02-24

2. Time-Dependent Black-Litterman;SSRN Electronic Journal;2016

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