This is a summary of links featured on Quantocracy on Wednesday, 01/13/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
Bayesian Portfolio Optimisation: Introducing the Black-Litterman Model [Hudson and Thames]The Black-Litterman (BL) model is one of the many successfully used portfolio allocation models out there. Developed by Fischer Black and Robert Litterman at Goldman Sachs, it combines Capital Asset Pricing Theory (CAPM) with Bayesian statistics and Markowitzs modern portfolio theory (Mean-Variance Optimisation) to produce efficient estimates of the portfolio weights. Before getting into the