Nematrian Reference Library
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Reference | Title | Link |
Meucci, A. (2006) | Beyond Black-Litterman: views on non-normal markets | |
Abstract
"In normally distributed markets, the Black-Litterman technique allows managers to construct portfolios that account for their views on a set of expected returns. Attilio Meucci extends the Black-Litterman framework to generic market distributions and shows an application to portfolio management in a thick-tailed, skewed and highly co-dependent market." |
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