A Multi-Period Black-Litterman Model

By Anas Abdelhakmi, Andrew E.B. Lim

Published 2024-04-29

Everscope rating

1732.6

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Multi-Period Black-Litterman Model. Problem types: Portfolio Optimization, Dynamic Asset Allocation.

arXiv:2404.18822 · Paper rankings

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