On the Bayesian interpretation of Black-Litterman

DOI10.1016/j.ejor.2016.10.027zbMath1395.91412OpenAlexW2532339033MaRDI QIDQ1751675

Petter Kolm, William Gordon Ritter

Publication date: 25 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.10.027

zbMATH Keywords

investment analysisBayesian statisticsportfolio optimizationfinanceBlack-Litterman

Mathematics Subject Classification ID

Related Items (6)

Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios ⋮ Black-Litterman model for continuous distributions ⋮ Bayesian portfolio selection using VaR and CVaR ⋮ The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation ⋮ Copula-based Black-Litterman portfolio optimization ⋮ A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection

Uses Software

• BayesDA

Cites Work

• 60 years of portfolio optimization: practical challenges and current trends
• The Bayesian Choice
• Risk Aversion in the Small and in the Large
• Stable distributions in the Black–Litterman approach to asset allocation
• Common risk factors in the returns on stocks and bonds
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