The Intuition Behind Black-Litterman Model Portfolios
By Guangliang He, Robert B. Litterman. 2002
292 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/5909b2cfbdc9a65aac22f8870ee63a8422359c3b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Frank J Fabozzi 3
- Svetlozar T. Rachev
- Rosella Giacometti
- Zhenyu Wang
- Thomas M. Idzorek
- M. Bertocchi
- Cfa Jay Walters
In Finance
- Frank J Fabozzi 3
- Svetlozar T. Rachev
- Rosella Giacometti
- Zhenyu Wang
- Thomas M. Idzorek
- M. Bertocchi
- Cfa Jay Walters
- Michele Leonardo Bianchi
Citations in the corpus
- A Step-By-Step Guide to the Black-Litterman Model Incorporating User-specified Confidence Levels (2019, background): “Litterman and Winkelmann (1998) and Litterman (2003) outline the methods they prefer for estimating the covariance matrix of returns, as well as several alternative methods of estimation. Qian and Gorman (2001) extends the Black-Litterman model, enabling investors to express views on volatilities an”
- The Black-Litterman Model in Detail (2014, methodology): “Different authors compute the various weights within the view differently, He and Litterman (1999) and Idzorek (2005) use a market capitalization weighed scheme, whereas Satchell and Scowcroft (2000) use an equal weighted scheme.”
- The Black-Litterman Approach: Original Model and Extensions (2008, unknown): “Here we follow He and Litterman (2002), see also Satchell and Scowcroft (2000), Idzorek (2004) and Walters (2008).”
- Stable distributions in the Black–Litterman approach to asset allocation (2007, background): “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…”
- A Shrinkage Approach to Model Uncertainty and Asset Allocation (2005, background): “For example, the asset management group at Goldman Sachs averages the estimate from equilibrium models and that from the views of investors [He and Litterman (1999)].”