Modern Investment Management: An Equilibrium Approach

By Bob Litterman. 2003

215 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/05ce9a86d4d5cdbe8de228ca3a16f1eb26550dc4

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Citations in the corpus

Asset allocation and portfolio performance: Evidence from university endowment funds (2010, methodology): “According to the paradigm of modern portfolio theory that originated with Markowitz (1952), the exercise of constructing optimal portfolios is ultimately one of balancing expected returns against their contribution to portfolio risk.”
Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies ☆ (2011, background): “…that the naive 1/N investment strategy can perform better than those sophisticated rules recommended from investment 1See Grinold and Kahn (1999), Litterman (2003), and Meucci (2005) for practical applications of the mean-variance framework; and see Brandt (2009) for an excellent survey of the…”
Optimal Portfolio Choice with Parameter Uncertainty (2007, background): “A recent paper by Mori (2004) also studies a similar problem under general linear constraints on portfolio weights.”
A Step-By-Step Guide to the Black-Litterman Model Incorporating User-specified Confidence Levels (2019, methodology): “…Black Litterman model combines the CAPM (see Sharpe (1964)), reverse optimization (see Sharpe (1974)), mixed estimation (see Theil (1971, 1978)), the universal hedge ratio / Black’s global CAPM (see Black (1989a, 1989b) and Litterman (2003)), and mean-variance optimization (see Markowitz (1952)).”
Stable distributions in the Black–Litterman approach to asset allocation (2007, methodology): “2=p , 1 < p < 2, ð4Þ ySee the papers by Fusai and Meucci (2003), Satchell and Scowcroft (2000), He and Litterman (1999) and the books by Litterman (2003) and Meucci (2005). zSee Eberlein and Keller (1995), Panorska et al. (1995), Mittnik and Paolella (2000), Rachev and Mittnik (2000) and the…”
Explaining and Forecasting Bond Risk Premiums (2010, unknown): “The dynamics of the state variables estimated by the model are substantially in line with those of the principal components identified by Litterman and Scheinkman (1991): (1) level, (2) slope, and (3) curvature of the term structure.”
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2004, unknown): “…to demonstrate how this model can be applied to the practical problem of portfolio selection if expected returns 1For a discussion of the problems entailed in implementing mean-variance optimal portfolios, see Hodges and Brealey (1978), Michaud (1989), Best and Grauer (1991), and Litterman (2003).”
Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? (2009, background): “3 For a discussion of the problems in implementing mean-variance optimal portfolios, see Hodges and Brealey (1978), Michaud (1989), Best and Grauer (1991), and Litterman (2003).”
The Black-Litterman Model in Detail (2014, unknown): “It also includes a rather complex worked example based on the global equilibrium, see Litterman (2003) for more details on the methods required to solve this problem.”
Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification (2009, unknown): “…more difficult than estimating second moments; empirical evidence for the resulting poor performance of the Markowitz portfolio is provided in Frost and Savarino (1986), Frost and Savarino (1988), Michaud (1989), Best and Grauer (1991), Litterman (2003), and DeMiguel, Garlappi, and Uppal (2009).”