A closed-form solution of the Black–Litterman model with conditional value at risk
Work
Year: 2017
Type: article
Source: Operations Research Letters
Authors Tao Pang, Cagatay Karan
Institution North Carolina State University
Cites: 26
Cited by: 14
Related to: 10
FWCI: 1.538
Citation percentile (by year/subfield): 90.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: closed