Bayesian Estimation & Black-Litterman Harvard Case Solution & Analysis

Describes a practical way of asset allocation that is certainly more robust to estimation errors than the traditional execution of mean-variance optimization with sample means and covariances.

The Bayesian divine Black-Litterman model is described after introducing the intuition of the Bayesian method of inference in an univariate setting.

PUBLICATION DATE: November 08, 2007 PRODUCT #: 208085-PDF-ENG

This is just an excerpt. This case is aboutĀ FINANCE & ACCOUNTING

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