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
Abstract: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