Black-Litterman model, the user inputs any number of views or statements about the expected returns of arbitrary portfolios, and the model combines the views with equilibrium, producing both the set of expected returns of assets as well as the optimal portfolio weights” (He and Litterman, 1999). © 2009 by Taylor and Francis Group, LLC.
Gabbi, G., Limone, A., Reno', R. (2009). The Black and Litterman Framework with Higher Moments: The Case of Hedge Funds. In G. N. Gregoriou (a cura di), Stock Market Volatility (pp. 255-273). Boca Raton, Florida : Chapman and Hall/CRC Press [10.1201/9781420099553].
The Black and Litterman Framework with Higher Moments: The Case of Hedge Funds
Gabbi, G.;Limone, A.;Reno', R.
2009-01-01
Abstract
Black-Litterman model, the user inputs any number of views or statements about the expected returns of arbitrary portfolios, and the model combines the views with equilibrium, producing both the set of expected returns of assets as well as the optimal portfolio weights” (He and Litterman, 1999). © 2009 by Taylor and Francis Group, LLC.
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https://hdl.handle.net/11365/20513
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