Journal of Asset Management

, Volume 1, Issue 2, pp 138–150

A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction

  • S Satchell
  • A Scowcroft

DOI: 10.1057/palgrave.jam.2240011

Cite this article as:
Satchell, S. & Scowcroft, A. J Asset Manag (2000) 1: 138. doi:10.1057/palgrave.jam.2240011


The purpose of this paper is to present details of Bayesian portfolio construction procedures which have become known in the asset management industry as Black–Litterman models. We explain their construction, present some extensions and argue that these models are valuable tools for financial management.


Bayesian portfolio construction Black–Litterman model optimisation asset allocation 
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Copyright information

© Palgrave Macmillan 2000

Authors and Affiliations

  • S Satchell
    • 1
  • A Scowcroft
    • 2
  1. 1.Trinity College, Cambridge UniversityCambridgeUK
  2. 2.head of equities quantitative research at UBS Warburg

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