The Black-Litterman Model Explained

Authors: Cheung, W.

Journal: The Journal of Asset Management

Volume: 11

Issue: 4

Pages: 229-243

Publisher: Springer Nature

ISSN: 1470-8272


This article is dedicated to enabling a better understanding of the Black-Litterman model. It features an economic interpretation; a clarification of the model’s assumptions and formulation; implementation guidance; a dimension-reduction technique to enable large portfolio applications; a full derivation of the main result; and a list of its key practical issues for further research.

Source: Manual