s Daily Wrap for 01/13/2021

published 14.01.2021 07:15

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The Black-Litterman (BL) model is one of the many successfully used portfolio allocation models out there.

Developed by Fischer Black and Robert Litterman at Goldman Sachs, it combines Capital Asset Pricing Theory (CAPM) with Bayesian statistics and Markowitzs modern portfolio theory (Mean-Variance Optimisation) to produce efficient estimates of the portfolio weights.

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