The Black–Litterman model: a consistent estimation of the parameter tau

Author:

Allaj Erindi

Publisher

Springer Science and Business Media LLC

Reference41 articles.

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3. Best, M.J., Grauer, R.R.: On the sensitivity of mean-variance-efficient portfolios to changes in asset means: some analytical and computational results. Rev. Financ. Stud. 4, 315–342 (1991)

4. Black, F., Jensen, M.C., Scholes, M.: The capital asset pricing model: some empirical tests. In: Jensen, M.C. (ed.) Studies in the Theory of Capital Markets, pp. 79–121. Praeger, New York (1972)

5. Black, F., Litterman, R.: Global Asset Allocation with Equities, Bonds and Currencies. Goldman Sachs and Co, New York (1991)

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