Page 30 - 論文-黃毓婷V3 MFB
P. 30

18.  Stoilov,  T.,  K.  Stoilova,  and  M.  Vladimirov  (2020),  “Analytical

                        Overview and Applications of Modified Black-Litterman Model for

                        Portfolio Optimization,” Cybernetics and Information Technologies,

                        20 (2), 30-49.

                   19.  Stoilov, T., K. Stoilova, and M. Vladimirov (2021), “Application of


                        Modified Black-Litterman Model for Active Portfolio Management,”

                        Expert Systems with Applications, 186, Article 115719.

                   20.  Tetlock,  P.  C.  (2007),  “Giving  Content  to  Investor  Sentiment:  The

                        Role of Media in the Stock Market,” The Journal of Finance, 62 (3),

                        1139-1168.

                   21.  Tütüncü, R. H. and M. Koenig  (2004), “Robust  Asset  Allocation,”

                        Annals of Operations Research, 132, 157-187.


                   22.  Wen, D., L. Liu, Y. Wang, and Y. Zhang (2022), “Forecasting Crude

                        Oil Market Returns: Enhanced Moving Average Technical Indicators,”

                        Resources Policy, 76, Article 102570.

                   23.  Zhou,  Q.  (2024),  “Application  of  Black-Litterman  Bayesian  in

                        Statistical Arbitrage,” arXiv preprint arXiv:2406.06706.































                                                            28
   25   26   27   28   29   30