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Mathematical derivations and practical implications for the use of the black-litterman model
KTH, School of Industrial Engineering and Management (ITM), Industrial Economics and Management (Dept.).
2011 (English)In: Journal of Real Estate Portfolio Management, Vol. 17, no 2, 139-159 p.Article in journal (Refereed) Published
Abstract [en]

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.
National Category
Economics and Business
URN: urn:nbn:se:kth:diva-150638ScopusID: 2-s2.0-84856159078OAI: diva2:744493

QC 20140908

Available from: 2014-09-08 Created: 2014-09-08 Last updated: 2014-09-08Bibliographically approved

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Mankert, Charlotta
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