Multivariate GARCH models and Black-Litterman approach for tracking error constrained portfolios: an empirical analysis
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- Giulio Palomba, 2008. "Multivariate GARCH models and the Black-Litterman approach for tracking error constrained portfolios: an empirical analysis," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 10(4), pages 379-413.
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Cited by:
- Anna Czapkiewicz & Artur Machno, 2013. "Empirical Verification of World’s Regions Profitability in Dynamic International Investment Strategy," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 145-162.
- Luca Riccetti, 2012. "Using tracking error volatility to check active management and fee level of investment funds," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 14(3), pages 139-158.
- Harris, Richard D.F. & Stoja, Evarist & Tan, Linzhi, 2017.
"The dynamic Black–Litterman approach to asset allocation,"
European Journal of Operational Research, Elsevier, vol. 259(3), pages 1085-1096.
- Harris, Richard D F & Stoja, Evarist & Tan, Linzhi, 2016. "The dynamic Black-Litterman approach to asset allocation," Bank of England working papers 596, Bank of England.
- Fabio FIORILLO & Agnese SACCHI, 2010. "I Want to Free-ride. An Opportunistic View on Decentralization Versus Centralization Problem," Working Papers 346, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Ugo FRATESI, 2010. "The National and International Effects;of Regional Policy Choices: Agglomeration Economies, Peripherality and Territorial Characteristics," Working Papers 344, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Luca RICCETTI, 2010. "Minimum Tracking Error Volatility," Working Papers 340, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Palomba, Giulio & Riccetti, Luca, 2012.
"Portfolio frontiers with restrictions to tracking error volatility and value at risk,"
Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2604-2615.
- Giulio PALOMBA & Luca RICCETTI, 2011. "Portfolio Frontiers with Restrictions to Tracking Error Volatility and Value at Risk," Working Papers 358, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Andi Duqi & Leonardo Franci & Giuseppe Torluccio, 2014. "The Black-Litterman model: the definition of views based on volatility forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 24(19), pages 1285-1296, October.
- Sahamkhadam, Maziar & Stephan, Andreas & Östermark, Ralf, 2022. "Copula-based Black–Litterman portfolio optimization," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1055-1070.
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More about this item
Keywords
Black and Litterman approach; multivariate GARCH models; tactical asset allocation;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2006-09-30 (Finance)
- NEP-FMK-2006-09-30 (Financial Markets)
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