Black–Litterman model for continuous distributions
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DOI: 10.1016/j.ejor.2018.08.013
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- Misha van Beek, 2020. "Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation," Papers 2004.09042, arXiv.org.
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Keywords
Investment analysis; Black–Litterman model; Asset allocation; Deviation measures; Numerical methods;All these keywords.
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