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The Black-Litterman Approach: Original Model and Extensions


Attilio Meucci


SYMMYS; Kepos Capital
August 1, 2008

Shorter version in, THE ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Wiley, 2010

Abstract:     
We walk the reader through the Black-Litterman approach, providing all the proofs. We show how minor modifications of the original model greatly improve its range of applications. We discuss full generalizations of this and related models. MATLAB code is available through MATLAB Central

Number of Pages in PDF File: 17

Keywords: estimation risk, shrinkage estimation, decision theory

JEL Classification: C1, G11

working papers series


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Date posted: April 8, 2008 ; Last revised: October 13, 2010

Suggested Citation

Meucci, Attilio, The Black-Litterman Approach: Original Model and Extensions (August 1, 2008). Shorter version in, THE ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Wiley, 2010. Available at SSRN: http://ssrn.com/abstract=1117574 or http://dx.doi.org/10.2139/ssrn.1117574

Contact Information

Attilio Meucci (Contact Author)
SYMMYS ( email )
HOME PAGE: http://www.symmys.com
Kepos Capital ( email )
Feedback to SSRN (Beta)


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