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