2 papers
math.OC2025
Dynamic Factor Models with Forward-Looking Views
Anas Abdelhakmi, Andrew E. B. Lim
Prediction models calibrated using historical data may forecast poorly if the dynamics of the present and future differ from observations in the past. For this reason, predictions…
q-fin.PM2025
Dynamic Black-Litterman
Anas Abdelhakmi, Andrew Lim
The Black-Litterman model is a framework for incorporating forward-looking expert views in a portfolio optimization problem. Existing work focuses almost exclusively on single-peri…