Andrzej Palczewski

University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics

Banacha 2

Warsaw, 02-097

Poland

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

1.

Black-Litterman Model for Continuous Distributions

Number of pages: 36 Posted: 08 Mar 2016 Last Revised: 13 Aug 2018
Jan Palczewski and Andrzej Palczewski
University of Leeds - School of Mathematics and University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics
Downloads 397 (77,464)
Citation 1

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Investment analysis, Black-Litterman model, asset allocation, deviation measures, general distribution, numerical methods

2.

Theoretical and Empirical Estimates of Mean-Variance Portfolio Sensitivity

Number of pages: 24 Posted: 16 Feb 2010 Last Revised: 10 Dec 2013
Andrzej Palczewski and Jan Palczewski
University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics and University of Leeds - School of Mathematics
Downloads 331 (95,378)
Citation 1

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Investment analysis, asset allocation, mean-variance portfolio, estimation error, bootstrap

3.

Fast LP Algorithms for Portfolio Optimization

Number of pages: 22 Posted: 13 Apr 2017
Andrzej Palczewski
University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics
Downloads 189 (168,203)

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Linear Programming, Portfolio Optimization, Asset Allocation, Conditional Value-At-Risk, Mean Absolute Deviation

4.

Elliptical Black-Litterman Portfolio Optimization

Number of pages: 28 Posted: 27 Mar 2017 Last Revised: 29 Aug 2017
Andrzej Palczewski and Jan Palczewski
University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics and University of Leeds - School of Mathematics
Downloads 183 (173,229)
Citation 1

Abstract:

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Black-Litterman, asset allocation, elliptical distribution