Multi-asset portfolio optimization and out-of-sample performance: an evaluation of Black–Litterman, mean-variance, and naïve diversification approaches-Reference-Cited by-同舟云学术

Multi-asset portfolio optimization and out-of-sample performance: an evaluation of Black–Litterman, mean-variance, and naïve diversification approaches

Published:2014-12-08 Issue:1 Volume:23 Page:1-30
ISSN:1351-847X
Container-title:The European Journal of Finance
language:en
Short-container-title:The European Journal of Finance

Author:

Bessler Wolfgang,Opfer Heiko,Wolff Dominik

Publisher

Informa UK Limited

Subject

Economics, Econometrics and Finance (miscellaneous)

Link

http://www.tandfonline.com/doi/pdf/10.1080/1351847X.2014.953699

Reference49 articles.

1. The Hedging Benefits of Commodity Futures in International Portfolio Diversification

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

3. Maximizing Utility with Commodity Futures Diversification

4. On portfolio optimization: Imposing the right constraints

5. Naive Diversification Strategies in Defined Contribution Saving Plans

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