Black-Litterman Asset Allocation under Hidden Truncation Distribution
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References listed on IDEAS
- Carmichael, Benoıˆt & Coën, Alain, 2013. "Asset pricing with skewed-normal return," Finance Research Letters, Elsevier, vol. 10(2), pages 50-57.
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- Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Post-Print hal-00413729, HAL.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2023-11-20 (Financial Markets)
- NEP-RMG-2023-11-20 (Risk Management)
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