The Black-Litterman model derives expected return parameters from market equilibrium allocations and manager views on the expected return of assets, which mitigates the sensitivity problem of mean-variance optimization and enables the production of diversified and intuitive portfolios.

Authors

• Person: Not available Organization: Wealthfront
  Wealthfront Classic Portfolio Investment Methodology White Paper

Sources

• Wealthfront Classic Portfolio Investment Methodology White Paper research.wealthfront.com Wealthfront via serper

Referenced by nodes (2)

• mean-variance optimization concept
• expected return concept