Ghislain Yanou

University of Paris-1 (CES/UG5/Finance)

Dr

106 Bld de l'hôpital

Office 513

Paris , 75647

France

SCHOLARLY PAPERS

2

DOWNLOADS

546

CITATIONS

2

Scholarly Papers (2)

1.

The Black-Litterman Model: Wrong Views v.s. Opportunity Cost

Number of pages: 19 Posted: 09 Dec 2010
Ghislain Yanou
University of Paris-1 (CES/UG5/Finance)
Downloads 232 (83,040)
Citation 1

Abstract:

Black-Litterman, Bayesian Mixed Estimation, Opportunity Cost, Transaction Cost

2.

Mean-Variance Framework and Diversification Objective: Theoretical and Empirical Implications

Number of pages: 56 Posted: 09 Dec 2010 Last Revised: 15 Dec 2010
Ghislain Yanou
University of Paris-1 (CES/UG5/Finance)
Downloads 207 (101,881)
Citation 1

Abstract:

Covariance Matrix, Diversification Constraint, Mean-Variance Portfolio, Parameter Uncertainty, Shrinkage

Other Papers (1)

Total Downloads: 33    Citations: 0
1.

Sample Tangency Portfolio, Representativeness and Ambiguity: Impact of the Law of Small Numbers

Number of pages: 43 Posted: 22 Mar 2009 Last Revised: 05 Jan 2011
Ghislain Yanou
University of Paris-1 (CES/UG5/Finance)
Downloads 28

Abstract:

Ambiguity, covariance matrix, null hypothesis, power law distribution, representativeness, tangency portfolio