Guangliang He

Independent

No Address Available

SCHOLARLY PAPERS

2

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22

Scholarly Papers (2)

1.

The Intuition Behind Black-Litterman Model Portfolios

Number of pages: 27 Posted: 28 Oct 2002
Guangliang He and Robert Litterman
Independent and Kepos Capital
Downloads 14,328 (107)
Citation 22

Abstract:

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Baysian, Black-Litterman model, CAPM, mean-variance analysis, portfolio selection

Abstract:

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drawdown, optimal portfolio, dynamic programming, linear constraints