The Black-Litterman Model in Detail
Jay Walters, CFA
Boston University - Metropolitan College - Department of Computer Science
June 20, 2014
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
Date posted: January 28, 2009 ; Last revised: June 23, 2014
© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo8 in 0.235 seconds