Incorporating Black-Litterman views in portfolio construction when stock returns are a mixture of normals

Document Details

Document Type
Pub Defense Publication
Publication Date
Mar 01, 2020
Source ID
10.1016/j.omega.2018.11.017

Entities

People

  • Burak Kocuk
  • Gérard Cornuéjols

Organizations

  • National Science Foundation
  • Office of Naval Research