The Effectiveness of Return Prediction by Machine Learning In Black-Litterman Model: Empirical Evidence of American ETF
碩士 === 國立清華大學 === 計量財務金融學系 === 106 === Mean-Variance Model, the basic model for portfolio construction, is very sensitive to the return we estimated. To overcome this disadvantage, Black-Litterman Model do not construct portfolio only according to the historical returns. It not only takes underlying...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/vk77mt |