Multiperiod Black Litterman Asset Allocation Model

Karan Malhotra

MPRA Paper from University Library of Munich, Germany

Abstract: This paper aims to feed predictive multi-factor regressional models as an input to the Black-Litterman Asset Allocation Model, with predictions and allocations iterated each month

Keywords: Black Litterman; Asset Allocation; Statistical Models (search for similar items in EconPapers)
JEL-codes: C40 C51 C58 (search for similar items in EconPapers)
Date: 2012-12
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:44806

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