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Robust Bayesian Portfolio Optimisation: Higher Moments and the Distorting Effects of Constraints
The aim of this thesis is to introduce the Bayesian approach to asset allocation. In particular, the Black-Litterman model is introduced as a powerful Bayesian asset allocation model that enables the incorporation of human decision making (in the form of views) within a portfolio optimisation framew...
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| Format: | Thesis |
| Language: | English |
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Graduate School of Business (GSB)
2024
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