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The Black-Litterman Model Explained
9 references·0 citing·31 second hop
The Black-Litterman Model Explained (2009)The Black-Litterman Model ExplainedExtending Black-Litterman Analysis Beyond the Mean-Variance Framework (2007)Extending Black-Litterman Ana…A step-by-step guide to the Black-Litterman model (2007)A step-by-step guide to the B…Risk and Asset Allocation (2005)Risk and Asset AllocationBeyond Black-Litterman: Views on Non-Normal Markets (2005)Beyond Black-Litterman: Views…The Intuition Behind Black-Litterman Model Portfolios (2002)The Intuition Behind Black-Li…A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction (2000)A demystification of the Blac…Global Portfolio Optimization (1992)Global Portfolio OptimizationEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Asset Allocation (1991)Modern Investment Management: An Equilibrium Approach (2003)Bayesian Portfolio Analysis (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Diversification with volatility products (2016)The dynamic Black–Litterman approach to asset allocation (2016)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)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)The Behavior of Stock-Market Prices (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Combining Probability Distributions: A Critique and an Annotated Bibliography (1986)Combining Probability Distributions From Experts in Risk Analysis (1999)Conditional value-at-risk for general loss distributions (2002)Beyond Black-Litterman in Practice: A Five-Step Recipe to Input Views on Non-Normal Markets (2005)Stable distributions in the Black–Litterman approach to asset allocation (2007)Optimization Methods in Finance (2006)Robust portfolios: contributions from operations research and finance (2009)Technical analysis: An asset allocation perspective on the use of moving averages☆ (2009)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)
this work references cited by second hop

References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 2005Risk and Asset Allocation399 cited
  • 2002The Intuition Behind Black-Litterman Model Portfolios272 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
  • 2005Beyond Black-Litterman: Views on Non-Normal Markets64 cited
  • 2007Extending Black-Litterman Analysis Beyond the Mean-Variance Framework60 cited

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