Image de couverture de livre

Latent Variable Estimation in Bayesian Black-Litterman Models

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteurs principaux:	Lin, Thomas Y. L., Hu, Jerry Yao-Chieh, Chiou, Paul W., Lin, Peter
Format:	Preprint
Publié:	2025
Sujets:	Portfolio Management Machine Learning Econometrics Methodology
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Tensor dynamic conditional correlation model: A new way to pursuit "Holy Grail of investing"
par: Yu, Cheng, et autres
Publié: (2025)

Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks
par: Jha, Ayush, et autres
Publié: (2025)

Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization
par: Johansson, Kasper, et autres
Publié: (2024)

Conformal Predictive Portfolio Selection
par: Kato, Masahiro
Publié: (2024)

Quantifying the Risk-Return Tradeoff in Forecasting
par: Coulombe, Philippe Goulet
Publié: (2026)

Dependency Network-Based Portfolio Design with Forecasting and VaR Constraints
par: Lin, Zihan, et autres
Publié: (2025)

Bayesian Portfolio Optimization by Predictive Synthesis
par: Kato, Masahiro, et autres
Publié: (2025)

Combining Transformer based Deep Reinforcement Learning with Black-Litterman Model for Portfolio Optimization
par: Sun, Ruoyu, et autres
Publié: (2024)

Maximally Machine-Learnable Portfolios
par: Coulombe, Philippe Goulet, et autres
Publié: (2023)

Stochastic Discount Factors with Cross-Asset Spillovers
par: Avramov, Doron, et autres
Publié: (2026)

Assessing Dynamic Connectedness in Global Supply Chain Infrastructure Portfolios: The Impact of Risk Factors and Extreme Events
par: Wang, Haibo
Publié: (2025)

Dynamic allocation: extremes, tail dependence, and regime Shifts
par: Luo, Yin, et autres
Publié: (2025)

Low Volatility Stock Portfolio Through High Dimensional Bayesian Cointegration
par: Yang, Parley R, et autres
Publié: (2024)

Dynamic Black-Litterman
par: Abdelhakmi, Anas, et autres
Publié: (2024)

FDR-Controlled Portfolio Optimization for Sparse Financial Index Tracking
par: Machkour, Jasin, et autres
Publié: (2024)

The Virtue of Sparsity in Complexity
par: Afsharhajari, Nima, et autres
Publié: (2026)

Portfolio Optimization with Robust Covariance and Conditional Value-at-Risk Constraints
par: Zhou, Qiqin
Publié: (2024)

Geometric Deep Learning for Realized Covariance Matrix Forecasting
par: Bucci, Andrea, et autres
Publié: (2024)

Sentiment trading with large language models
par: Kirtac, Kemal, et autres
Publié: (2024)

Event-Driven Market Co-Movement Dynamics in Critical Mineral Equities: An Empirical Framework Using Change Point Detection and Cross-Sectional Analysis
par: Wang, Haibo
Publié: (2026)

Black-Litterman and ESG Portfolio Optimization
par: Alpern, Aviv, et autres
Publié: (2025)

Probabilistic Forecasting for Day-ahead Electricity Prices, Battery Trading Strategies and the Economic Evaluation of Predictive Accuracy
par: Hirsch, Simon, et autres
Publié: (2026)

Market Reactions and Information Spillovers in Bank Mergers: A Multi-Method Analysis of the Japanese Banking Sector
par: Wang, Haibo, et autres
Publié: (2025)

LLM-Enhanced Black-Litterman Portfolio Optimization
par: Lee, Youngbin, et autres
Publié: (2025)

On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management
par: Li, Chi-Lin, et autres
Publié: (2023)

Statistical applications of the 20/60/20 rule in risk management and portfolio optimization
par: Pączek, Kewin, et autres
Publié: (2025)

Cost-aware Portfolios in a Large Universe of Assets
par: Fan, Qingliang, et autres
Publié: (2024)

Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets
par: Fan, Qingliang, et autres
Publié: (2024)

Post-Screening Portfolio Selection
par: Uematsu, Yoshimasa, et autres
Publié: (2026)

Variable selection for minimum-variance portfolios
par: Moura, Guilherme V., et autres
Publié: (2025)

NewsNet-SDF: Stochastic Discount Factor Estimation with Pretrained Language Model News Embeddings via Adversarial Networks
par: Wang, Shunyao, et autres
Publié: (2025)

Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy
par: Lu, Yonghe, et autres
Publié: (2024)

Portfolio Optimization Proxies under Label Scarcity and Regime Shifts via Bayesian and Deterministic Students under Semi-Supervised Sandwich Training
par: Chattopadhyay, Adhiraj
Publié: (2026)

Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction
par: Cho, So-Yoon, et autres
Publié: (2025)

Statistical Inference for Score Decompositions
par: Dimitriadis, Timo, et autres
Publié: (2026)

Designing Time-Series Models With Hypernetworks & Adversarial Portfolios
par: Staněk, Filip
Publié: (2024)

Factor-Based Conditional Diffusion Model for Contextual Portfolio Optimization
par: Gao, Xuefeng, et autres
Publié: (2025)

On Evaluating Loss Functions for Stock Ranking: An Empirical Analysis With Transformer Model
par: Kwiatkowski, Jan, et autres
Publié: (2025)

Developing A Multi-Agent and Self-Adaptive Framework with Deep Reinforcement Learning for Dynamic Portfolio Risk Management
par: Li, Zhenglong, et autres
Publié: (2024)

Sparse spanning portfolios and under-diversification with second-order stochastic dominance
par: Arvanitis, Stelios, et autres
Publié: (2024)