Black–Litterman Portfolio Optimization with Dynamic CAPM via ABC-MCMC
Date Issued
2025-10
Author(s) USM
DOI
10.3390/math13203265
Abstract
The present research proposes a methodology for portfolio construction that integrates the Black-Litterman model with expected returns generated through simulations under dynamic Capital Asset Pricing Model (CAPM) with conditional betas, estimated via App
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