A Term Structure Model for Expert Opinions


Expert opinions and analyst views are an invaluable source of information for portfolio allocation models, starting with Black and Litterman's seminal work. In this paper, we propose a continuous-time model for the term... [ view full abstract ]


  1. Sebastien Lleo (NEOMA Business School)
  2. Mark Davis (Imperial College London)

Topic Areas

Asset Allocation , Optimal Control , Optimal Investment


WE-P-B1 » Optimal Control and Optimal Investment 2 (14:30 - Wednesday, 18th July, Beckett 1)

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