Journal
COMPUTATIONAL MANAGEMENT SCIENCE
Volume 17, Issue 3, Pages 465-492Publisher
SPRINGER HEIDELBERG
DOI: 10.1007/s10287-020-00373-6
Keywords
Black-Litterman model; Asset allocation strategies; Investor's views; Out-of-sample performance
Categories
Ask authors/readers for more resources
The Black-Litterman (BL) model has been proposed as a valid solution to the problem of the estimation error in the mean-variance (MV) model. However, very little research has been done in order to empirically test the performance of the model. The paper contributes to the existing literature by empirically examining the out-of-sample performance of the BL model with respect to other asset allocation strategies. As another contribution of the paper, we suggest a novel approach to specify the investor's views in the BL model. Overall our results suggest that the BL model is a valid asset allocation strategy.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available