Fixed income portfolio construction : a Bayesian approach for the allocation of risk factors
Active portfolio management is driven by the trade-off between the expected return and the associated risks. In light of the most recent extensions of Black-Litterman model, we stick to a Bayesian approach for the construction of active fixed income portfolios. Within the investment grade universe,...
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City University London
2015
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Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.683748 |