Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
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, ISSN 1083-5547, Vol. 17, no 2, p. 139-159Article 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, p. 139-159
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:kth:diva-150638Scopus ID: 2-s2.0-84856159078OAI: oai:DiVA.org:kth-150638DiVA, id: diva2:744493
Note

QC 20140908

Available from: 2014-09-08 Created: 2014-09-08 Last updated: 2016-12-19Bibliographically approved

Open Access in DiVA

No full text in DiVA

Scopus

Search in DiVA

By author/editor
Mankert, Charlotta
By organisation
Industrial Economics and Management (Dept.)
Economics and Business

Search outside of DiVA

GoogleGoogle Scholar

urn-nbn

Altmetric score

urn-nbn
Total: 68 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf