Asset allocation with multiple analysts’ views: a robust approach
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems and Management,Strategy and Management,Business and International Management
Link
http://link.springer.com/content/pdf/10.1057/s41260-019-00115-7.pdf
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3. Becker, F., M. Gürtler, and M. Hibbeln. 2015. Markowitz versus Michaud: Portfolio optimization strategies reconsidered. The European Journal of Finance 21 (4): 269–291.
4. Ben-Tal, A., and A. Nemirovski. 1998. Robust convex optimization. Mathematics of Operations Research 23 (4): 769–805.
5. Bertsimas, D., V. Gupta, and I.C. Paschalidis. 2012. Inverse optimization: A new perspective on the Black–Litterman model. Operations Research 60 (6): 1389–1403.
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