Generalised Factor View Blending: Augmented Black-Litterman in Non-Normal Financial Markets with Non-Linear Financial instruments

Publisher: SSRN

Abstract:

The Augmented Black-Litterman (ABL) model is an elegant view processor, as well as a natural, robust and unified allocation framework suitable for multiple investment styles (Cheung, 2012 & 2020). In this paper, we extend the model into a generalised factor view blending (GFVB) framework, suitable for tail risk-aware allocation in non-normal markets with non-linear instruments, factor structures and views.

Source: Manual