A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction

S Satchell () and A Scowcroft
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S Satchell: Trinity College, Cambridge University
A Scowcroft: head of equities quantitative research at UBS Warburg

Journal of Asset Management, 2000, vol. 1, issue 2, No 4, 138-150

Abstract: Abstract The purpose of this paper is to present details of Bayesian portfolio construction procedures which have become known in the asset management industry as Black–Litterman models. We explain their construction, present some extensions and argue that these models are valuable tools for financial management.

Keywords: Bayesian portfolio construction; Black–Litterman model; optimisation; asset allocation (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (43)

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DOI: 10.1057/palgrave.jam.2240011

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