The Black-Litterman Model and Alternative Investments by Marc Odo, CFA, CAIA, CFP

Mon, 2011-10-31

Since unveiling the Black-Litterman Global Portfolio Optimization model in AllocationADVISOR in 2004, many have wondered how the Black-Litterman (BL) model could accommodate alternative asset classes. This paper seeks to give practitioners some ideas on how alternatives might be addressed in a BL framework.

Using Alternative Asset Classes in the Black-Litterman Model

Marc Odo
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A common question people have when using the Black-Litterman model is: How do I add alternative asset classes to my line-up of traditional asset classes? There are arguments both for and against the idea of using alternative asset classes in a Black-Litterman framework. I discussed the topic at our 2007 Annual Client Conference and the presentation is on-line.


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