Global Portfolio Optimization

By F. Black, Robert B. Litterman. 1992

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Citations in the corpus

Threshold-based portfolio: the role of the threshold and its applications (2017, methodology): “Examples include the three-factor asset pricing model [18], the Black–Litterman model [19], the resampled efficient frontier model [20], the global minimum variance model [21], the maximum diversification portfolio [22], and the risk-parity portfolio [23,24].”
Portfolio selection with higher moments (2010, unknown): “Pastor ( 2000 ) and Black and Litterman ( 1992 ) propose using asset pricing models to provide informative prior distributions for future returns.”
Stable distributions in the Black–Litterman approach to asset allocation (2007, background): “and Litterman [4], [5], [ 6 ] that led to development of extensions of the frame-”
Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? (2009, background): “Another approach, proposed by Black and Litterman (1990, 1992) , combines two sets of priors—one based on an equilibrium asset-pricing model and the other on the subjective views of the investor—which is not strictly Bayesian, because a Bayesian approach combines a prior with the data.”
A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004, methodology): “4This is a common use of the mean-variance model as noted by, e.g., Sharpe (1987), Solnik (1991), Black and Litterman (1992), and Michaud (1998).”
Robust portfolio selection under downside risk measures (2009, background): “To our knowledge, it is Black and Litterman ( 1992 ) who first addressed the issue of parameter uncertainties in portfolio selection.”