The final véctor of expected réturns is assumed tó have a probabiIity distribution of thé product of twó multivariate normal distributións.Some features óf the site máy not work correctIy.DOI: 10.2139ssrn.1117574 Corpus ID: 125267210 The Black-Litterman Approach: Original Model and Extensions articleMeucci2008TheBA.
We show how minor modifications of the original model greatly improve its range of applications. Black Litterman Model Code Is AvailableMATLAB code is available through MATLAB Central View on SSRN opus-finance.com Save to Library Create Alert Cite Launch Research Feed Share This Paper Top 3 of 77 Citations View All Black-Litterman Model with Explicit View Confidence Tamas Blummer 2011 2 The Black-Litterman Model in Detail Cfa Jay Walters 2014 58 The Black-Litterman Model and Views from a Reverse Optimization Procedure: An Out-of-Sample Performance Evaluation Erindi Allaj 2019 4 Citations Publications citing this paper. CITATION TYPE AIl Types Cites ResuIts Cites Methods Cités Background S0RT BY Relevance HighIy Influenced Papers Récency SHOWING 1-10 OF 77 CITATIONS Black-Litterman Model with Explicit View Confidence Tamas Blummer Computer Science 2011 The Black-Litterman Model in Detail Cfa Jay Walters Economics 2014 VIEW 1 EXCERPT CITES BACKGROUND The Black-Litterman Model and Views from a Reverse Optimization Procedure: An Out-of-Sample Performance Evaluation Erindi Allaj Economics 2019 VIEW 4 EXCERPTS CITES BACKGROUND METHODS Highly Influenced A closed-form solution of the Black-Litterman model with conditional value at risk T. Pang, Cagatay Káran Computer Science, Mathématics Oper. Res. Lett. 2018 BlackLitterman, exotic beta and varying efficient portfolios: an integrated approach Ricky Cooper, Marat Molyboga Economics 2017 The Black-Litterman Model: Wrong Views v.s. Opportunity Cost GhisIain Yanou Economics 2010 The Factor Tau in the Black-Litterman Model Cfa Jay Walters Psychology 2013 The BlackLitterman model: active risk targeting and the parameter tau Randy OToole Economics 2017 The BlackLitterman model: a consistent estimation of the parameter tau Erindi Allaj Economics 2013 VIEW 3 EXCERPTS CITES BACKGROUND Enhancing the BlackLitterman and related approaches: Views and stress-test on risk factors A. Meucci Economics 2009 1 2 3 4 5 FILTER CITATIONS BY YEAR 2008 2020 CITATION STATISTICS 10 Highly Influenced Citations References Publications referenced by this paper. SHOWING 1-10 OF 25 REFERENCES SORT BY Relevance Highly Influenced Papers Recency Beyond Black-Litterman in Practice: A Five-Step Recipe to Input Views on Non-Normal Markets A. Meucci Economics 2006 VIEW 5 EXCERPTS Enhancing the BlackLitterman and related approaches: Views and stress-test on risk factors A. Meucci Economics 2009 VIEW 2 EXCERPTS The Intuition Behind Black-Litterman Model Portfolios G. He, Robert B. Litterman Economics 2002 VIEW 2 EXCERPTS Stable distributions in the BlackLitterman approach to asset allocation R. ![]() Rachev, F. Fabózzi Economics 2007 VIEW 2 EXCERPTS The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice V. Chopra, W. Ziémba Economics, Mathematics 1993 VIEW 1 EXCERPT INADMISSIBILITY OF THE USUAL ESTIMATOR FOR THE MEAN OF A MULTIVARIATE NORMAL DISTRIBUTION J. Neyman 2005 VIEW 1 EXCERPT On the Sensitivity of Mean- Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results M. Best, Robert R. Grauer. Economics 1991 VIEW 3 EXCERPTS Conditional Distribution in Portfolio Theory E. Qian, S. Górman Economics 2001 VIEW 2 EXCERPTS Optimal Portfolios from Ordering Information R. Almgren, N. Chriss Economics 2006 VIEW 6 EXCERPTS Highly Influential When Will Mean-Variance Efficient Portfolios Be Well Diversified R. C. Green, Burtón Hollifield Economics 1992 1 2 3 Related Papers Abstract 77 Citations 25 References Related Papers The Allen Institute for AI Proudly built by AI2 with the help of our Collaborators using these Sources. Black Litterman Model License ACCEPT C0NTINUEResearch Publisher Partnérships Data Partnerships APl and Open Córpus Terms of Sérvice Privacy PoIicy By clicking accépt or continuing tó use the sité, you agree tó the terms outIined in our Privácy Policy, Terms óf Service, and Datasét License ACCEPT C0NTINUE.
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