Construction of an information-shock-resilient portfolio: integration of GARCH forecasts and LLM signals within the Black-Litterman framework
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Date
2026
Authors
Тарасов, Арсен
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Abstract
The primary aim of the present research is to develop, validate and empirically examine the most efficient methodology for managing an asset portfolio.
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Keywords
Black-Litterman framework, portfolio management, portfolio optimization, Markowitz model, master's thesis