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Black–Litterman model
Known as:
Black litterman
, Black-Litterman
, 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…
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Related topics
Related topics
3 relations
Constrained optimization
Mathematical model
Modern portfolio theory
Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2016
2016
Extensions of black-litterman portfolio optimization model with downside risk measure
Xinxin Jia
,
Jianjun Gao
Chinese Control and Decision Conference
2016
Corpus ID: 41106275
This paper considers extensions of the Black-Litterman(BL) portfolio optimization model. Recognizing only the expected returns of…
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2016
2016
The black-litterman model in central bank practice: study for Turkish Central Bank
N. Ganikhodjaev
,
Kamola Bayram
2016
Corpus ID: 66123762
The Modern Portfolio Theory is based on Markowitz Mean-Variance portfolio optimization. The Black-Litterman Model uses a Bayesian…
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2014
2014
A Black–Litterman approach to correlation stress testing
F. Ng
,
W. Li
,
P. Yu
2014
Corpus ID: 73556411
Correlation stress testing is motivated by a well-known phenomenon: correlations change under financial crises. The adjustment of…
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2013
2013
The Black-Litterman model
C. Syvertsen
2013
Corpus ID: 124466107
The Markowitz model has two problematic tendencies; unintuitive portfolios and portfolios with high transaction costs. The Black…
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2012
2012
Diversification of Equity with VIX Futures: Personal Views and Skewness Preference
C. Alexander
,
Dimitris Korovilas
2012
Corpus ID: 56439904
A comprehensive description of the trading and statistical characteristics of VIX futures and their exchange-traded notes…
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2011
2011
Black-Litterman Model with Explicit View Confidence
Tamas Blummer
2011
Corpus ID: 61253607
I introduce an explicit view confidence parameter to the Black-Litterman model. The new parameter does not need calibration and…
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2010
2010
The Black-Litterman Model : Towards its use in practice
Charlotta Mankert
2010
Corpus ID: 140781337
The Black-Litterman model is analyzed in three steps seeking to investigate, develop and test the B-L model in an applied…
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Review
2009
Review
2009
Black Litterman model in a Skew Normal Market
Francesco Blasi
,
London Partners
2009
Corpus ID: 153824753
This paper deals with the extension of the Black and Litterman model to a market where the N risky assets are distributed…
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2007
2007
TEV Sensitivity to Views in Black-Litterman Model
M. Braga
,
F. Natale
2007
Corpus ID: 55432783
In this paper we propose a new measure for the marginal contribution of each view to the ex-ante tracking error volatility (TEV…
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Review
2007
Review
2007
The black-litterman model hype or improvement?
A. Salomons
2007
Corpus ID: 215953283
This thesis explores a popular asset allocation model: the Black-Litterman model. First, an overview is given of the foundations…
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