Black-Litterman Model Extension
The Black-Litterman asset allocation model is improved to better reflect market reality by incorporating the normal variance-mean mixture distribution, allowing for skewness, heavy tails, and asymmetric dependence in financial returns.
Featured in No. 94 on 23 Apr 2025 · 1 day after release
- Released
- 22 Apr 2025
- First featured
- No. 94 · 23 Apr 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
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- Identifier
- SSRN 5226679
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