Multivariate GARCH models and Black-Litterman approach for ...外文.pdfVIP

Multivariate GARCH models and Black-Litterman approach for tracking error constrained portfolios: an empirical analysis Giulio Palomba∗ Abstract In a typical tactical asset allocation setup managers generally make their choices with the aim of beating a benchmark portfolio. In this context the pure Markowitz strategy does not take two aspects into account: asset returns often show changes in volatility and managers’ dec