Abstract

http://ssrn.com/abstract=1314585
 
 

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The Black-Litterman Model in Detail


Jay Walters, CFA


Boston University - Metropolitan College - Department of Computer Science

June 20, 2014


Abstract:     
In this paper we survey the literature on the Black-Litterman model. This survey is provided both as a chronology and a taxonomy as there are many claims on the model in the literature. We provide a complete description of the canonical model including full derivations from the underlying principles using both Theil's Mixed Estimation model and Bayes Theory. The various parameters of the model are considered, along with information on their computation or calibration. Further consideration is given to several of the key papers, with worked examples illustrating the concepts.

Number of Pages in PDF File: 65

Keywords: quantitative portfolio management, asset allocation, Black-Litterman, mixed-estimation

JEL Classification: C11, G11

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Date posted: January 28, 2009 ; Last revised: June 23, 2014

Suggested Citation

Walters, CFA, Jay, The Black-Litterman Model in Detail (June 20, 2014). Available at SSRN: http://ssrn.com/abstract=1314585 or http://dx.doi.org/10.2139/ssrn.1314585

Contact Information

Jay Walters (Contact Author)
Boston University - Metropolitan College - Department of Computer Science ( email )
United States
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