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Technical paper

The two-factor Black-Litterman model

Over the years, an increasing number of practitioners have been using the Black-Littermanmodel to make tactical asset allocation decisions. The model generates more stable resultsthan classical mean-variance optimisation and incorporates return forecasts…

Bond execution models

While research on the optimal execution of equity trading has become popular, a study of this kind has not yet been done with regard to the bond market. In this article, Koichi Miyazaki presents a bond execution model that incorporates the strong…

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