Bayesian Estimation & Black-Litterman
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Publication Date:
November 08, 2007
Source:
Harvard Business School
Describes a practical method for asset allocation that is more robust to estimation errors than the traditional implementation of mean-variance optimization with sample means and covariances. The Bayesian inspired Black-Litterman model is described after introducing the intuition of the Bayesian approach to inference in a univariate setting.
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Bayesian Estimation & Black-Litterman
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