Black-LittermanModel.pptVIP

Emily * Emily * Emily * Emily * Patrick * Patrick * Patrick * Patrick * Allen/Patrick * Emily Further discussion on τ Further readings suggested * * Black-Litterman Model An Alternative to the Markowitz Asset Allocation Model Allen Chen Pui Wah (Emily) Tsui Patrick Peng Xu What is the Black-Litterman Model? The Black-Litterman Model is used to determine optimal asset allocation in a portfolio Black-Litterman Model takes the Markowitz Model one step further Incorporates an investor’s own views in determining asset allocations Two Key Assumptions Asset returns are normally distributed Differ