Subject category:
Finance, Accounting and Control
Published by:
Harvard Business Publishing
Version: 8 November 2007
Length: 4 pages
Data source: Generalised experience
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Abstract
Describes a practical method for asset allocation that is more robust to estimation errors than the traditional implementation of mean-variance optimization with sample means and covariances. The Bayesian inspired Black-Litterman model is described after introducing the intuition of the Bayesian approach to inference in a univariate setting.
Other setting(s):
2007
About
Abstract
Describes a practical method for asset allocation that is more robust to estimation errors than the traditional implementation of mean-variance optimization with sample means and covariances. The Bayesian inspired Black-Litterman model is described after introducing the intuition of the Bayesian approach to inference in a univariate setting.
Settings
Other setting(s):
2007