Blar i AURA på forfatter "Syvertsen, Christopher Øiestad"
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The Black-Litterman model
Syvertsen, Christopher Øiestad (Master thesis, 2013)The Markowitz model has two problematic tendencies; unintuitive portfolios and portfolios with high transaction costs. The Black-Litterman model was made as an improvement of the Markowitz model. It uses a Bayesian approach ...