On the Bayesian interpretation of Black-Litterman

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• 作者：Petter Kolm^a ; Gordon Ritter^a ; ^b ; ^{ritter@post.harvard.edu} ; ^{gordon.ritter@gsacapital.com}
• 关键词：Finance ; Investment analysis ; Bayesian statistics ; Black&ndash ; Litterman ; Portfolio optimization
• 刊名：European Journal of Operational Research
• 出版年：2017
• 出版时间：16 April 2017
• 年：2017
• 卷：258
• 期：2
• 页码：564-572
• 全文大小：671 K
• 卷排序：258

文摘

The duality between Black–Litterman optimization and regression is clarified. Generalized to allow views on any parameter that appears in any asset return model. Our generalization is a special case of a Bayesian network or graphical model. Allows for views on factor risk premia in Ross’ Arbitrage Pricing Theory (APT).