Chapter 17: Portfolio Construction

Black-Litterman and Views-Based Allocation advanced

Black-Litterman starts from the market's implied equilibrium returns, blends in investor views weighted by their confidence, and produces a posterior expected-return vector that is far more stable than raw sample estimates fed to a mean-variance optimizer.

Black-Litterman starts from the market's implied equilibrium returns, blends in investor views weighted by their confidence, and produces a posterior expected-return vector that is far more stable than raw sample estimates fed to a mean-variance optimizer.

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