Optimal Asset Allocation using Black-Litterman with Smooth Transition Model
碩士 === 國立中央大學 === 統計研究所 === 106 === In fi nancial markets, the model proposed by Markowitz is widely used in investment.However, the sensitive parameters lead to make errors in practice easily that results in poor returns. In this project, we use the Black-Litterman model to establish the portfolio,...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/wyg5qy |