The Black-Litterman Approach: Original Model and Extensions

By Attilio Meucci. 2008

61 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Finance, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/7307f98802a8bd8ebd7bda1f4b82345c8a8714d6

Citations in the corpus

• Portfolio management with cryptocurrencies: The role of estimation risk (2019, unknown): “Since we maximize the Sharpe ratio, the parameter λ is set to unity. where 1/ is set to unity as in Meucci (2010).”
• Multi-asset portfolio optimization and out-of-sample performance: an evaluation of Black–Litterman, mean-variance, and naïve diversification approaches (2017, unknown): “Third, we assume an overall time-invariant level of confidence in the ‘views’ (Meucci 2010) by substituting according to Equation (11).”
• Should investors include Bitcoin in their portfolios? A portfolio theory approach (2020, unknown): “This portfolio technique is independent of the parameter λ (relative risk aversion).”