The Black–Litterman model explained
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DOI: 10.1057/jam.2009.28
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References listed on IDEAS
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- S Satchell & A Scowcroft, 2000. "A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction," Journal of Asset Management, Palgrave Macmillan, vol. 1(2), pages 138-150, September.
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Cited by:
- Randy O'Toole, 2013. "The Black–Litterman model: A risk budgeting perspective," Journal of Asset Management, Palgrave Macmillan, vol. 14(1), pages 2-13, February.
- Frieder Meyer-Bullerdiek, 2021. "Out-of-sample performance of the Black-Litterman model," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 10(2), pages 1-2.
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Keywords
portfolio construction; Bayes’ Rule; view blending and shrinkage; semi-strong market efficiency; optimisation; robustness;All these keywords.
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