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Black–Litterman model

Creator
Creator
Seonglae ChoSeonglae Cho
Created
Created
2025 May 28 17:7
Editor
Editor
Seonglae ChoSeonglae Cho
Edited
Edited
2025 May 29 13:56
Refs
Refs
Black-Scholes Model
Fischer Black
Asset Allocation and Portfolio Optimization Field
 
 
 
 
Black–Litterman model
In finance, the Black–Litterman model is a mathematical model for portfolio allocation developed in 1990 at Goldman Sachs by Fischer Black and Robert Litterman. It seeks to overcome problems that institutional investors have encountered in applying modern portfolio theory in practice. The model starts with an asset allocation based on the equilibrium assumption (assets will perform in the future as they have in the past) and then modifies that allocation by taking into account the opinion of the investor regarding future asset performance.[1] [2]
Black–Litterman model
https://en.wikipedia.org/wiki/Black%E2%80%93Litterman_model
arxiv.org
https://arxiv.org/pdf/2504.14345
 

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Fischer Black

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Black–Litterman model
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