LITERATURHINWEISE

  • Ang, Andrew: Asset Management, A Systematic Approach to Factor Investing, Oxford Univ. Press, 2014
  • Black, Fischer und Robert Litterman: Asset Allocation: Combining investor views with market equilibrium, Goldman Sachs & Co., Fixed Income Research, September 1990
  • Bollerslev, Tim: Generalized Autoregressive Conditional Heteroscedasticity, Journal of Econometrics, 31, 1986, S. 307-27.
  • Campbell, John Y. und Luis M. Viceira: Strategic Asset Allocation: Portfolio Choice for Long-Term Investors, Oxford University Press, 2002
  • Engle, Robert F.: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation, Econometrica, 50, 1982, S. 987-1008.
  • Engle, Robert F.: Dynamic Conditional Correlation – a simple class of multivariate Garch models, University Of California, San Diego, Discussion Paper, May 2000
  • Engle, Robert F.: Anticipating Correlations, Princeton University Press, 2009
  • Fabozzi, Frank, Petter N. Kolm, Dessislava A. Pachamanova und Serio M. Focardi: Robust Portfolio Optimization and Management, John Wiley & Sons, 2007
  • Hafner , Christian M. und Philip Hans Franses: A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Asset, Econometrics Reviews, Vol. 28, Nr. 6, 2009, S. 612-631
  • Harris, Richard D. F., Evarist Stoja und Linzhi Tan: The dynamic Black-Litterman approach to asset allocation, Staff Working Paper 596, Bank of England, April 2016
  • Kritzman, Mark und Yuanzhen Li: Skulls, Financial Turbulence, and Risk Management, Financial Analysts Journal, September/October 2010, Vol. 66, No. 5, S. 30-41
  • Moreira, Alan und Tyler Muir: Volatility Managed Portfolios, Yale School of Management, April 2016
  • Röck, Bernhard: Wie agiert der Vermögensverwalter in kritischen Marktphasen? Diversifi­ka­tions­­potenziale und Dispersionschancen der Asset Allocation, in: Everling, Oliver und Jürgen Lampe (Hrsg.): Rating von Vermögensverwaltungen, Frankfurt-School-Verlag, 2014,S. 181-197
  • Taylor, Stephen J.: Asset Price Dynamics, Volatility, and Prediction, Princeton University Press, 2005