Essays about: "Eric Dove"
Found 1 essay containing the words Eric Dove.
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1. Black-Litterman Portfolio Allocation Stability and Financial Performance with MGARCH-M Derived Views
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 2 Abstract This paper deploys methodology typically utilized in financial econometrics, namely univariate and multivariate GARCH-M forecasting techniques, as inputs into the Black-Litterman asset allocation process. While previous works have examined the usefulness in deploying select GARCH specifications as a source for the required Black-Litterman views vector, to the best of our knowledge, this is the first such work comparing the effects of select GARCH specification on asset allocation volatility. READ MORE
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