Abstract We extend the Black-Litterman (BL) approach to incorporate tail dependency in
portfolio optimization and estimate the posterior joint distribution of returns using vine …

One of the main contributions of Black–Litterman asset allocation modeling is bringing out
the idea of updating portfolios relying on the investor views. The incorporation of such views …

Abstract We generalize the Black–Litterman (BL) portfolio management framework to
incorporate time-variation in the conditional distribution of returns in the asset allocation …

We suggest using deep learning networks to create expert opinions as part of an iterative
active portfolio management process. These opinions would be based on posts from the X …

This article aims to implement a portfolio optimization strategy considering two fundamental
aspects: the empirical regularities observed in the time series of stock returns, and the views …

Asset managers are often given the task of restricting their activity by keeping both the value
at risk (VaR) and the tracking error volatility (TEV) under control. However, these constraints …

Purpose The existing literature on the Black-Litterman (BL) model does not offer adequate
guidance on how to generate investors' views in an objective manner. Therefore, the …

We construct a fuzzy mean-semi-absolute deviation portfolio with novel power membership
functions. The portfolio return is measured by the Black–Litterman model, which combines …

Abstract MV (Mean–Variance) model's sensitivity to input parameters and its reliance on
historical data have long posed challenges in portfolio optimization. In this paper, we …

This study aims to examine the evidence of the behaviour of asymmetric volatility in the
BRICS stock markets, and the analysis is based on daily data from January 2004 to …