黑色-垃圾模型
投资组合优化
计算机科学
文件夹
黑天鹅理论
经济
项目组合管理
投资策略
计量经济学
投资(军事)
复制投资组合
金融经济学
微观经济学
数学
项目管理
统计
法学
管理
利润(经济学)
政治
政治学
作者
Petter N. Kolm,Gordon Ritter,Joseph Simonian
标识
DOI:10.3905/jpm.2021.1.222
摘要
The Black–Litterman model is one of the most popular models in quantitative finance, with numerous theoretical and practical achievements. From the standpoint of investment theory, the Black–Litterman model allows seamless incorporation of Bayesian statistics into the portfolio optimization process. From a practical standpoint, it provides portfolio managers with a structured approach to express subjective views, thereby freeing their investment processes from a total reliance on backward-looking historical data. In this article, the authors provide an overview of the original Black–Litterman model and its various extensions and enhancements addressing issues in real-world trading and investment management. TOPICS:Statistical methods, portfolio construction, performance measurement Key Findings ▪ The authors provide an overview of the original Black–Litterman model and its various extensions and enhancements, addressing issues in real-world trading and investment management. ▪ Many important practical considerations in implementing the Black-Litterman model are discussed including choice of priors, view generation, and transaction costs. ▪ Particular emphasis is given to the extensions of the Black-Litterman model of significant practical relevance to today's investors such as factor models, model misspecification, non-normality, and multiperiod portfolio optimization.
科研通智能强力驱动
Strongly Powered by AbleSci AI