Mathematical derivations and practical implications for the use of the black-litterman model
2011 (English)In: Journal of Real Estate Portfolio Management, Vol. 17, no 2, 139-159 p.Article in journal (Refereed) Published
In this article, the financial portfolio model often referred to as the Black-Litterman model is described, and then mathematically derived, using a sampling theoretical approach. This approach generates a new interpretation of the model and gives an interpretable formula for the mystical parameter, the weight-on-views. The practical implications of the model are discussed, along with how portfolio fund managers should arrive at model input values and what consideration must be weighted beforehand.
Place, publisher, year, edition, pages
2011. Vol. 17, no 2, 139-159 p.
Economics and Business
IdentifiersURN: urn:nbn:se:kth:diva-150638ScopusID: 2-s2.0-84856159078OAI: oai:DiVA.org:kth-150638DiVA: diva2:744493
QC 201409082014-09-082014-09-082014-09-08Bibliographically approved