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.

Black-Litterman Model - Market Caps

2011-04-28 03:50:38
Stephen Berei
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Black-Litterman Model (BLM)

As an introduction topic for our blog, let’s discuss Market Capitalization in the BLM, why it matters and how it can help determine forward-looking returns.

Black-Litterman and Home Prices in StyleADVISOR

Tue, 2005-03-01

Black-Litterman: Asset allocations you can actually use!
Have you given up on mean variance optimization because the resulting asset allocations are unintuitive and anything but diversified? The sophisticated Black-Litterman asset allocation model helps you realize the benefits of mean variance optimization by creating portfolios that you can use.

How does the Black-Litterman Model Calculate Return Forecasts?

The Black-Litterman Model by Thomas Becker, Ph.D.

Tue, 2009-04-21

An Introduction for the Practitioner. This article explains the benefits of using the Black-Litterman model (BLM) in conjunction with the time-honored mean variance optimization (MVO). BLM provides a front end to the MVO method that addresses the two main issues practitioners have with it.


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