Natasha Abou Rjaily

University Paris-Saclay

France

Amundi Asset Management

90 Boulevard Pasteur

Paris, 75015

France

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Risk Factor, Risk Premium and Black-Litterman Model

Number of pages: 59 Posted: 14 Nov 2024
Natasha Abou Rjaily, Thierry Roncalli and Jiali Xu
University Paris-Saclay, Amundi Asset Management and Amundi Asset Management
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Abstract:

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Factor model, risk premium, Black-Litterman model, minimum-variance portfolio, active management, tactical asset allocation JEL Classification: C02