An introduction to modern portfolio theory by West G.

By West G.

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8) where again K is the risk aversion parameter (and again K can be eliminated if desired). If all views are relative views then only the stocks which are part of those views will have their weights affected. If there are absolute views then all the stocks will have change in returns and weights, since each individual return is linked to the other returns via the covariance matrix of returns. As usual as soon as there are constraints on short selling the model is much more difficult to use. 1. 2: Black-Litterman portfolio with views 32 Bibliography Black, F.

Litterman, R. ’, Investment Management Research. Goldman, Sachs and Company . Hull, J. (2002), Options, Futures, and Other Derivatives, fifth edn, Prentice Hall. Idzorek, T. (2002), ‘A step-by-step guide to the Black-Litterman model’. Morgan and Reuters, New York. , ed. (2003), Modern Investment Management: an equilibrium approach, Wiley. Quantitative Resources Group Goldman Sachs Asset Management. Markowitz, H. (1952), ‘Portfolio selection’, Journal of Finance 7(1), 77–91. Roll, R. & Ross, S.

Sharpe, W. F. (1964), ‘Capital asset prices - a theory of market equilibrium under conditions of risk’, Journal of Finance pp. 425–442.

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