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The Black-Litterman Model for Structured Equity Portfolios
9 references·3 citing·39 second hop
The Black-Litterman Model for Structured Equity Portfolios (2007)The Black-Litterman Model for Structured …A step-by-step guide to the Black-Litterman model (2007)A step-by-step guide to the B…Incorporating Trading Strategies in the Black-Litterman Framework (2006)Incorporating Trading Strateg…Portfolio Optimization with Tracking-Error Constraints (2003)Portfolio Optimization with T…Portfolio Construction with Qualitative Forecasts (2003)Portfolio Construction with Q…A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction (2000)A demystification of the Blac…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Global Portfolio Optimization (1992)Global Portfolio OptimizationThe financial analysts journal (1960)The financial analysts journalOptimal asset allocation strategies for international equity portfolios: A comparison of country versus industry optimization (2021)Optimal asset allocation stra…Factor investing and asset allocation strategies: a comparison of factor versus sector optimization (2021)Factor investing and asset al…Taxes, Shorting, and Active Management (2017)Taxes, Shorting, and Active M…An Analytic Derivation of the Efficient Portfolio Frontier (1972)The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)Value At Risk: The New Benchmark for Managing Financial Risk (2000)Optimal Decentralized Investment Management (2006)Financial Advice and Individual Investors' Portfolios (2007)Mean-risk models using two risk measures: a multi-objective approach (2007)The effect of estimation risk on optimal portfolio choice (1976)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Intelligent Asset Allocation via Market Sentiment Views (2018)Portfolio Management with Cryptocurrencies: The Role of Estimation Risk (2018)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Incorporating estimation errors into portfolio selection: Robust portfolio construction (2006)Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches (2012)Robo Advisors: quantitative methods inside the robots (2018)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Intuition Behind Black-Litterman Model Portfolios (2002)Bayesian Asset Allocation and U.S. Domestic Bias (2003)Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches (2006)Total Return Strategies for Multi-Asset Portfolios (2007)Active Portfolio Management (2017)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)International Momentum Strategies (1998)Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives (2012)On the Bayesian interpretation of Black–Litterman (2016)Copula-based Black–Litterman portfolio optimization (2021)A five-factor asset pricing model (2014)Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough? (2022)Signal differences in Chinese central bank communication channels (2026)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Modelling the persistence of conditional variances (1986)First Impressions Matter: A Model of Confirmatory Bias (1999)Institutional Investors and Equity Prices (2001)
this work references cited by second hop

References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 1960The financial analysts journal1,043 cited
  • 2003Portfolio Optimization with Tracking-Error Constraints246 cited
  • 2000A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction205 cited
  • 2007A step-by-step guide to the Black-Litterman model193 cited
  • 2006Incorporating Trading Strategies in the Black-Litterman Framework69 cited
  • 2003Portfolio Construction with Qualitative Forecasts47 cited

Cited by

  • 2021Optimal asset allocation strategies for international equity portfolios: A comparison of country versus industry optimization33 cited
  • 2017Taxes, Shorting, and Active Management26 cited
  • 2021Factor investing and asset allocation strategies: a comparison of factor versus sector optimization24 cited

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