Ghislain Yanou

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

Dr

106 Bld de l'hôpital

Office 513

Paris , 75647

France

SCHOLARLY PAPERS

2

DOWNLOADS

598

2

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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 336 (87,378)

Abstract:

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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 262 (114,292)

Abstract:

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

Other Papers (1)

Total Downloads: 37    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 37

Abstract:

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