August 2007
Intermediate to advanced
304 pages
12h 22m
English
Content preview from Forecasting Expected Returns in the Financial Markets
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3 A demystification of the
Black–Litterman model: managing
quantitative and traditional portfolio
construction
Stephen Satchell and Alan Scowcroft
Abstract
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.
3.1 Introduction
One of the major difficulties in financial management is trying to integrate quantitative
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