The Black-Litterman Model

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Название: The Black-Litterman Model

Автор:

Издательство: Stockholm, Sweden

Год: 2006

Страниц: 111

Формат: PDF

Размер: 5.41 Mb

Качество: Отличное

Язык текста: Английский

The financial portfolio model often referred to as the Black-Litterman model is

analyzed using two approaches; a mathematical and a behavioral finance approach.

After a detailed description of its framework, the Black-Litterman model is derived

mathematically 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. Secondly, implications are drawn from research

results within behavioral finance. One of the most interesting features of the Black-

Litterman model is that the benchmark portfolio, against which the performance of the portfolio manager is evaluated, functions as the point of reference.

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