Black-Litterman model for continuous distributions.
Andrzej PalczewskiJan PalczewskiPublished in: Eur. J. Oper. Res. (2019)
Keyphrases
- management system
- bayesian framework
- probability distribution
- statistical model
- neural network
- gaussian distribution
- experimental data
- mathematical model
- em algorithm
- log normal
- prediction model
- formal model
- closed form
- theoretical framework
- database
- markov chain
- probabilistic model
- cost function
- prior knowledge
- objective function
- high level
- real time