مقایسه عملکرد مدل‌های بهینه‌سازی با صندوق‌های سرمایه‌گذاری سهامی در بورس اوراق بهادار تهران

Bayram, K., Abdullah, A., & Meera, A. K. (2018). Identifying the optimal level of gold as a reserve asset using Black–Litterman model: The case for Malaysia, Turkey, KSA and Pakistan. International Journal of Islamic and Middle Eastern Finance and Management.

Beneda. L. Nancy, (2002), "Investing in Growth Stocks May Not Pay Off' The CPA JolInlal.New York. 'Personal Financial Planning.' September

Bessler, W., Opfer, H., & Wolff, D. (2017). Multi-asset portfolio optimization and out-of-sample performance: an evaluation of Black–Litterman, mean-variance, and naïve diversification approaches. The European Journal of Finance, 23(1), 1-30.

Black, F. and Litterman, R. (1991). “Asset Allocation: Combining Investors Views with Market Equilibrium.” Fixed Income
Research, Goldman, Sachs & Company, September.

Black, F., & Litterman, R. (1992 ). Global portfolio optimization. Financial Analysts Journal, 21-43.

Bradshaw, M, Richardson, S, & Sloan, R. (2013). The relation between corporate financing activities, analysts’ forecasts and stock returns. Journal of accounting and economics. Forthcoming

Chan, K, Chan, K.L, Jegadeesh, N, and Lakonishok, J. (2004)" .Earnings Quality and Stock Returns . "www.gradientanalytics.com.

Fernandes, B., Street, A., Fernandes, C., & Valladão, D. (2018). On an adaptive Black–Litterman investment strategy using conditional fundamentalist information: A Brazilian case study. Finance Research Letters, 27, 201-207.

Fuhrer, A., & Hock, T. (2019). Uncertainty in the Black-Litterman model: A practical note (No. 68). Weidener Diskussionspapiere.

Kara, M., Ulucan, A., & Atici, K. B. (2019). A hybrid approach for generating investor views in Black–Litterman model. Expert Systems with Applications, 128, 256-270.

Kolm, P. N., Ritter, G., & Simonian, J. (2021). Black–Litterman and Beyond: The Bayesian Paradigm in Investment Management. The Journal of Portfolio Management, 47(5), 91-113.

Lai, S., & Li, H. (2018). The performance evaluation for fund of funds by comparing asset allocation of mean–variance model or genetic algorithms to that of fund managers. Applied Financial Economics, 18(6), 485-501.

Markowitz, H.M. (1952 ). “Portfolio Selection.” The Journal of Finance, March

Palczewski, A., & Palczewski, J. (2019). Black–Litterman model for continuous distributions. European journal of operational research, 273(2), 708-720.

Stoilov, T., Stoilova, K., & Vladimirov, M. (2021). Application of modified Black-Litterman model

 

for active portfolio management. Expert Systems with Applications, 186, 115719.

Vladimirov, M., Stoilov, T., & Stoilova, K. (2017). New formal description of expert views of Black-Litterman asset allocation model. Cybernetics and Information Technologies, 17(4), 87-98.