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"A closed-form solution of the Black-Litterman model with conditional value ..."

Tao Pang, Cagatay Karan (2018)

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DOI: 10.1016/J.ORL.2017.11.014

access: closed

type: Journal Article

metadata version: 2018-04-18

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Tao Pang, Cagatay Karan:
A closed-form solution of the Black-Litterman model with conditional value at risk. Oper. Res. Lett. 46(1): 103-108 (2018)

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