ERM-612-17: Modern Investment Management: An Equilibrium Approach - Ch.7: Beyond Equilibrium, the Black-Litterman Approach


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Reading Source: http://fin.shufe.edu.cn/finance/citibank/投资/book/Modern%20Investment%20Management%20An%20Equilibrium%20Approach.pdf

Topics Covered in this Reading:

  • Introduction
  • Black-Litterman Model (BLM)
    • Example 1
    • Black-Litterman “View”
    • Difference between Black-Litterman Model and Badly Behaved Standard Optimizer
    • Key Point
    • Reasons that the Black-Litterman Model is necessary
    • Special Cases